101 citations · 335 across the 13 of their papers we have counts for
13 papers
Cleaning large-dimensional covariance matrices for correlated samples
Zdzislaw Burda, Andrzej Jarosz
We elucidate the problem of estimating large-dimensional covariance matrices in the presence of correlations between samples. To this end, we generalize the Marcenko-Pastur equatio…
Random matrix theory of quantum transport in chaotic cavities with non-ideal leads
Andrzej Jarosz, Pedro Vidal, Eugene Kanzieper
We determine the joint probability density function (JPDF) of reflection eigenvalues in three Dyson's ensembles of normal-conducting chaotic cavities coupled to the outside world t…
Generalized Bures products from free probability
Andrzej Jarosz
Inspired by the theory of quantum information, I use two non-Hermitian random matrix models - a weighted sum of circular unitary ensembles and a product of rectangular Ginibre unit…
Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices (The Extended Version)
Z. Burda, A. Jarosz, G. Livan +2
We consider a product of an arbitrary number of independent rectangular Gaussian random matrices. We derive the mean densities of its eigenvalues and singular values in the thermod…
Summing free unitary random matrices
Andrzej Jarosz
I use quaternion free probability calculus - an extension of free probability to non-Hermitian matrices (which is introduced in a succinct but self-contained way) - to derive in th…
Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory
Andrzej Jarosz
The random matrix theory method of planar Gaussian diagrammatic expansion is applied to find the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cro…