2 citations · 5 across the 3 of their papers we have counts for
6 papers
On eigenvalues of the Brownian sheet matrix
Jian Song, Yimin Xiao, Wangjun Yuan
We derive a system of stochastic partial differential equations satisfied by the eigenvalues of the symmetric matrix whose entries are the Brownian sheets. We prove that the sequen…
On eigenvalue distributions of large auto-covariance matrices
Jianfeng Yao, Wangjun Yuan
In this article, we establish a limiting distribution for eigenvalues of a class of auto-covariance matrices. The same distribution has been found in the literature for a regulariz…
On collision of multiple eigenvalues for matrix-valued Gaussian processes
Jian Song, Yimin Xiao, Wangjun Yuan
For real symmetric and complex Hermitian Gaussian processes whose values are matrices, we characterize the conditions under which the probability that at least eige…
Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion
Jian Song, Jianfeng Yao, Wangjun Yuan
In this article, we study high-dimensional behavior of empirical spectral distributions for a class of symmetric/Hermitian random matrices, whos…
High-dimensional central limit theorems for eigenvalue distributions of generalized Wishart processes
Jian Song, Jianfeng Yao, Wangjun Yuan
We consider eigenvalues of generalized Wishart processes as well as particle systems, of which the empirical measures converge to deterministic measures as the dimension goes to in…
High-dimensional limits of eigenvalue distributions for general Wishart process
Jian Song, Jianfeng Yao, Wangjun Yuan
In this article, we obtain an equation for the high-dimensional limit measure of eigenvalues of generalized Wishart processes, and the results is extended to random particle system…