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math.PR2026
Maximum of sparsely equicorrelated Gaussian fields and applications
Johannes Heiny, Tiefeng Jiang, Tuan Pham +1
We investigate the extreme values of a sparse and equicorrelated Gaussian field on a triangle: the correlations on every vertical or horizontal line are all equal to a parameter $r…
math.PR2024
Largest Eigenvalues of Principal Minors of Deformed Gaussian Orthogonal Ensembles and Wishart Matrices
Tiefeng Jiang, Yongcheng Qi
Consider a high-dimensional Wishart matrix $\bd{W}=\bd{X}^T\bd{X}$ where the entries of $\bd{X}$ are i.i.d. random variables with mean zero, variance one, and a finite fourth momen…
math.PR2024
Eigenvalues of Product of Ginibre Ensembles and Their Inverses and that of Truncated Haar Unitary Matrices and Their Inverses
Shuhua Chang, Tiefeng Jiang, Yongcheng Qi
Consider two types of products of independent random matrices, including products of Ginibre matrices and inverse Ginibre matrices and products of truncated Haar unitary matrices a…