Spectral properties of non-gaussian random matrices

Result code in IS VaVaI
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Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Spectral properties of non-gaussian random matrices
Original language description
The main topic of this article is spectral analysis of random matrices. It is well known that distribution of normalized eigenvalues of general and real gaussian matrices is de- scribed by the Girko's circle law, i.e. eigenvalues of matrix lie inside ofunit circle centered to origin of the complex plain. If the random matrix is symmetrical the distribution of eigenval- ues is described by Wigner's semicircle law. Furthermore, the so-called spacing distribution is investigated. This variable is random and its distribution is described by Izrailev's formula. Generalizations of these laws for non-gaussian matrices are introduced. Numerical tests (imple- mented in MATLAB) have shown that properties of eigenvalues of real non-gaussian matrices are in°uenced by variance of elements of matrix only and they are independent of their distribution. The mentioned tests were executed for matrices with elements chosen from uniform, Poissonian and gamma distribution. Moreover, the hypothesis about g
Czech name
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Czech description
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Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
SPMS 2010 Stochastic and Physical Monitoring Systems
ISBN
978-80-01-04641-8
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
1-12
Publisher name
ČVUT
Place of publication
Praha
Event location
Děčín
Event date
Jun 27, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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