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arXiv · 2208.09430

Statistics of the non-zero eigenvalues and singular values of low-rank random matrices with non-negative entries

Mark J. Crumpton·Yan V. Fyodorov·Pierpaolo Vivo
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Abstract

We compute analytically the probability distribution and moments of the sum and product of the non-zero eigenvalues and singular values of random matrices with (i) non-negative entries, (ii) fixed rank, and (iii) prescribed sums of the entries in each row. Applications of such matrices are discussed in the context of Markov chains, economics and social networks to name a few. All results are valid at finite matrix size and are given in terms of the statistics of vectors of general Dirichlet random variables. Analytical results are corroborated by numerical simulations throughout with excellent agreement.

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Mark J. Crumpton, Yan V. Fyodorov, Pierpaolo Vivo. 2022-08-19. Statistics of the non-zero eigenvalues and singular values of low-rank random matrices with non-negative entries. https://doi.org/10.1088/1751-8121/add6e9

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