8 papers
Spectra of high-dimensional Spearman correlation matrices under scale-mixture dependence
Jean-Philippe Bouchaud, Pierre Bousseyroux, Tomas Espana +1
We study the asymptotic spectral properties of high-dimensional Spearman correlation matrices for scale-mixture data. We consider observations of the form $x_t=Ï_t ξ_t \in \mathb…
Spectral boundaries of deterministic matrices deformed by rotationally invariant random non-Hermitian ensembles
Pierre Bousseyroux, Marc Potters
One of the great miracles of random matrix theory is that, in the limit, many otherwise intractable matrix problems with horrendously complicated finite- expressi…
The eigenvalues and eigenvectors of finite-rank normal perturbations of large rotationally invariant non-Hermitian matrices
Pierre Bousseyroux, Marc Potters
We study finite-rank normal deformations of rotationally invariant non-Hermitian random matrices. Extending the classical Baik-Ben Arous-Péché (BBP) framework, we characterize th…
R-transforms for non-Hermitian matrices: a spherical integral approach
Pierre Bousseyroux, Marc Potters
In this paper, we establish a connection between the formalism of -transforms for non-Hermitian random matrices and the framework of spherical integrals, using the rep…
Another Marcenko-Pastur law for Kendall's tau
Pierre Bousseyroux, Tomas Espana, Matteo Smerlak
Bandeira et al. (2017) show that the eigenvalues of the Kendall correlation matrix of i.i.d. random vectors in are asymptotically distributed like $1/3 + (2/3)Y_…
Free Convolution and Generalized Dyson Brownian Motion
Pierre Bousseyroux, Jean-Philippe Bouchaud
The eigenvalue spectrum of the sum of large random matrices that are mutually "free", i.e., randomly rotated, can be obtained using the formalism of R-transforms, with many applica…