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Ji Oon Lee

Publications and source records attributed to Ji Oon Lee.

At least 19 recordsLinked to original sources

Free energy fluctuation of soft spherical Sherrington-Kirkpatrick model

We consider a soft version of the spherical Sherrington-Kirkpatrick model, where the spherical constraint is replaced by a radial confinement term. We prove that, for a real symmetric disorder matrix under suitable spectral assumptions, the free energy exhibits two distinct fluctuation regimes. In the high-temperature regime, the fluctuations are asymptotically Gaussian. In the low-temperature regime, the fluctuations are governed by the largest eigenvalue and converge to the GOE Tracy-Widom distribution. These results show that the soft radial constraint preserves the fluctuation transition of the classical spherical Sherrington-Kirkpatrick model.

math.PR↗

Linear Spectral Statistics for Entrywise-Transformed Spiked Wigner Matrices under Shifted $L^4$ Profile Admissibility

We prove a derivative-free analytic linear spectral statistics theorem for entrywise-transformed rank-one spiked Wigner matrices with a general microscopic noise law. The transform is required to be centered, variance-normalized, and admissible under the small translations generated by the spike: its shifted mean and second moment have first- and second-order profiles, while its centered shifted fourth cumulants and fourth tails are stable. At every microscopic shift we construct an explicit uniformly bounded three-point variable matching the first four centered moments of the target entry exactly. A generalized-Wigner LSS theorem applies to the resulting bounded triangular array, and a global Fourier--Duhamel derivative estimate transfers the analytic statistic back to the rough transform without a common truncation, coefficient-stability assumption, or local law. The order-one mean consists of the homogeneous Wigner bias, a rank-one Woodbury response, a zero-diagonal correction, and a quadratic variance-profile response. The centered covariance is the standard zero-diagonal real-Wigner covariance with fourth-cumulant parameter $κ_4^{f,ν}$. We distinguish the bulk contour statistic from the full trace in the supercritical regime and show that the separated outlier adds exactly $φ(θ+θ^{-1})$ to the full-trace centering. As a self-contained consequence, Gaussian noise with $f\in L^{4+ε}(γ)$ satisfies the theorem without differentiability of $f$; the resulting bulk and full-trace corollary has explicit Hermite coefficients and includes every centered, variance-normalized polynomial-growth transform. Concrete likelihood-ratio, smooth-transform, bounded rough-transform, and atomic criteria are provided, together with obstructions showing that bare $L^4(ν)$ is insufficient.

math.PR↗

Universality of the fluctuations of the free energy in generalized Sherrington-Kirkpatrick models and the log likelihood ratio in spiked Wigner models

We consider the fluctuations of the free energy in generalized Sherrington-Kirkpatrick models and the log likelihood ratio of spiked Wigner models in the high temperature/subcritical regime. We prove that the limiting laws of the fluctuations are Gaussian under suitable assumptions, and the result is universal in the sense that it does not depend on the distribution of the disorder or the prior except that the means and the variances of the limiting laws depend on a few parameters of the model. The proof is based on the multigraph expansion that provides a unified approach to analyze both models.

math.PR↗

Local laws and spectral properties of deformed sparse random matrices

We consider deformed sparse random matrices of the form $H= W+ λV$, where $W$ is a real symmetric sparse random matrix, $V$ is a random or deterministic, real, diagonal matrix whose entries are independent of $W$, and $λ= O(1) $ is a coupling constant. Under mild assumptions on the matrix entries of $W$ and $V$, we prove local laws for $H$ that compare the empirical spectral measure of it with a refined version of the deformed semicircle law. By applying the local laws, we also prove several spectral properties of $H$, including the rigidity of the eigenvalues and the asymptotic normality of the extremal eigenvalues.

math.PR↗

Fluctuations of the largest eigenvalues of transformed spiked Wigner matrices

We consider a spiked random matrix model obtained by applying a function entrywise to a signal-plus-noise symmetric data matrix. We prove that the largest eigenvalue of this model, which we call a transformed spiked Wigner matrix, exhibits Baik-Ben Arous--Péché (BBP) type phase transition. We show that the law of the fluctuation converges to the Gaussian distribution when the effective signal-to-noise ratio (SNR) is above the critical number, and to the GOE Tracy-Widom distribution when the effective SNR is below the critical number. We provide precise formulas for the limiting distributions and also concentration estimates for the largest eigenvalues, both in the supercritical and the subcritical regimes.

math.PR↗

Asymptotic Normality of Log Likelihood Ratio and Fundamental Limit of the Weak Detection for Spiked Wigner Matrices

We consider the problem of detecting the presence of a signal in a rank-one spiked Wigner model. For general non-Gaussian noise, assuming that the signal is drawn from the Rademacher prior, we prove that the log likelihood ratio (LR) of the spiked model against the null model converges to a Gaussian when the signal-to-noise ratio is below a certain threshold. The threshold is optimal in the sense that the reliable detection is possible by a transformed principal component analysis (PCA) above it. From the mean and the variance of the limiting Gaussian for the log-LR, we compute the limit of the sum of the Type-I error and the Type-II error of the likelihood ratio test. We also prove similar results for a rank-one spiked IID model where the noise is asymmetric but the signal is symmetric.

math.ST↗

Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model with heavy-tailed interaction

We consider the 2-spin spherical Sherrington--Kirkpatrick model without external magnetic field where the interactions between the spins are given as random variables with heavy-tailed distribution. We show that the free energy exhibits a sharp phase transition depending on the location of the largest eigenvalue of the interaction matrix. We also prove the order of the limiting free energy and the limiting distribution of the fluctuation of the free energy for both regimes.

math.PR↗

Spectral Properties and Weak Detection in Stochastic Block Models

We consider the spectral properties of balanced stochastic block models of which the average degree grows slower than the number of nodes (sparse regime) or proportional to it (dense regime). For both regimes, we prove a phase transition of the extreme eigenvalues of SBM at the Kesten--Stigum threshold. We also prove the central limit theorem for the linear spectral statistics for both regimes. We propose a hypothesis test for determining the presence of communities of the graph, based on the central limit theorem for the linear spectral statistics.

math.PR↗

Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model with sparse interaction

We consider the spherical Sherrington-Kirkpatrick model of spin glass with sparse interaction, where the interactions between most of the pairs of the spin variables are possibly zero. With suitable normalization, we prove that the limiting free energy does not depend on the sparsity whereas the fluctuation of the free energy does. We also prove that both in the high- and the low-temperature regimes the fluctuation of the free energy converges in distribution to Gaussian distributions of same order when the sparsity is on a certain level, but their variances are different.

math.PR↗

Central limit theorem for eigenvalue statistics of sample covariance matrix with random population

Consider the sample covariance matrix $$Σ^{1/2}XX^TΣ^{1/2}$$ where $X$ is an $M\times N$ random matrix with independent entries and $Σ$ is an $M\times M$ diagonal matrix. It is known that if $Σ$ is deterministic, then the fluctuation of $$\sum_if(λ_i)$$ converges in distribution to a Gaussian distribution. Here $\{λ_i\}$ are eigenvalues of $Σ^{1/2}XX^TΣ^{1/2}$ and $f$ is a good enough test function. In this paper we consider the case that $Σ$ is random and show that the fluctuation of $$\frac{1}{\sqrt N}\sum_if(λ_i)$$ converges in distribution to a Gaussian distribution. This phenomenon implies that the randomness of $Σ$ decreases the correlation among $\{λ_i\}$.

math.PR↗

Detection problems in the spiked matrix models

We study the statistical decision process of detecting the low-rank signal from various signal-plus-noise type data matrices, known as the spiked random matrix models. We first show that the principal component analysis can be improved by entrywise pre-transforming the data matrix if the noise is non-Gaussian, generalizing the known results for the spiked random matrix models with rank-1 signals. As an intermediate step, we find out sharp phase transition thresholds for the extreme eigenvalues of spiked random matrices, which generalize the Baik-Ben Arous-Péché (BBP) transition. We also prove the central limit theorem for the linear spectral statistics for the spiked random matrices and propose a hypothesis test based on it, which does not depend on the distribution of the signal or the noise. When the noise is non-Gaussian noise, the test can be improved with an entrywise transformation to the data matrix with additive noise. We also introduce an algorithm that estimates the rank of the signal when it is not known a priori.

math.ST↗

Spherical Sherrington-Kirkpatrick model for deformed Wigner matrix with fast decaying edges

We consider the $2$-spin spherical Sherrington--Kirkpatrick model whose disorder is given by a deformed Wigner matrix of the form $W+λV$, where $W$ is a Wigner matrix and $V$ is a random diagonal matrix with i.i.d. entries. Assuming that the density function of the entries of $V$ decays faster than a certain rate near the edges of its spectrum, we prove the sharp phase transition of the limiting free energy and its fluctuation. In the high temperature regime, the fluctuation of $F_N$ converges in distribution to a Gaussian distribution, whereas it converges to a Weibull distribution in the low temperature regime. We also prove several results for deformed Wigner matrices, including a local law for the resolvent entries, a central limit theorem of the linear spectral statistics, and a theorem on the rigidity of eigenvalues.

math.PR↗

Phase Transition in the Generalized Stochastic Block Model

We study the problem of detecting the community structure from the generalized stochastic block model (GSBM). Based on the analysis of the Stieljtes transform of the empirical spectral distribution, we prove a BBP-type transition for the largest eigenvalue of the GSBM. For specific models such as a hidden community model and an unbalanced stochastic model, we provide precise formulas for the two largest eigenvalues, establishing the gap in the BBP-type transition.

math.ST↗

Real eigenvalues of elliptic random matrices

We consider the real eigenvalues of an $(N \times N)$ real elliptic Ginibre matrix whose entries are correlated through a non-Hermiticity parameter $τ_N\in [0,1]$. In the almost-Hermitian regime where $1-τ_N=Θ(N^{-1})$, we obtain the large-$N$ expansion of the mean and the variance of the number of the real eigenvalues. Furthermore, we derive the limiting empirical distributions of the real eigenvalues, which interpolate the Wigner semicircle law and the uniform distribution, the restriction of the elliptic law on the real axis. Our proofs are based on the skew-orthogonal polynomial representation of the correlation kernel due to Forrester and Nagao.

math.PR↗

Detection of Signal in the Spiked Rectangular Models

We consider the problem of detecting signals in the rank-one signal-plus-noise data matrix models that generalize the spiked Wishart matrices. We show that the principal component analysis can be improved by pre-transforming the matrix entries if the noise is non-Gaussian. As an intermediate step, we prove a sharp phase transition of the largest eigenvalues of spiked rectangular matrices, which extends the Baik-Ben Arous-Péché (BBP) transition. We also propose a hypothesis test to detect the presence of signal with low computational complexity, based on the linear spectral statistics, which minimizes the sum of the Type-I and Type-II errors when the noise is Gaussian.

math.ST↗

Weak Detection in the Spiked Wigner Model with General Rank

We study the statistical decision process of detecting the signal from a `signal+noise' type matrix model with an additive Wigner noise. We propose a hypothesis test based on the linear spectral statistics of the data matrix, which does not depend on the distribution of the signal or the noise. The test is optimal under the Gaussian noise if the signal-to-noise ratio is small, as it minimizes the sum of the Type-I and Type-II errors. Under the non-Gaussian noise, the test can be improved with an entrywise transformation to the data matrix. We also introduce an algorithm that estimates the rank of the signal when it is not known a priori.

math.ST↗

Extremal eigenvalues of sample covariance matrices with general population

We consider the eigenvalues of sample covariance matrices of the form $\mathcal{Q}=(Σ^{1/2}X)(Σ^{1/2}X)^*$. The sample $X$ is an $M\times N$ rectangular random matrix with real independent entries and the population covariance matrix $Σ$ is a positive definite diagonal matrix independent of $X$. Assuming that the limiting spectral density of $Σ$ exhibits convex decay at the right edge of the spectrum, in the limit $M, N \to \infty$ with $N/M \to d\in(0,\infty)$, we find a certain threshold $d_+$ such that for $d>d_+$ the limiting spectral distribution of $\mathcal{Q}$ also exhibits convex decay at the right edge of the spectrum. In this case, the largest eigenvalues of $\mathcal{Q}$ are determined by the order statistics of the eigenvalues of $Σ$, and in particular, the limiting distribution of the largest eigenvalue of $\mathcal{Q}$ is given by a Weibull distribution. In case $d<d_+$, we also prove that the limiting distribution of the largest eigenvalue of $\caQ$ is Gaussian if the entries of $Σ$ are i.i.d. random variables. While $Σ$ is considered to be random mostly, the results also hold for deterministic $Σ$ with some additional assumptions.

math.PR↗

Weak detection in the spiked Wigner model

We consider the weak detection problem in a rank-one spiked Wigner data matrix where the signal-to-noise ratio is small so that reliable detection is impossible. We propose a hypothesis test on the presence of the signal by utilizing the linear spectral statistics of the data matrix. The test is data-driven and does not require prior knowledge about the distribution of the signal or the noise. When the noise is Gaussian, the proposed test is optimal in the sense that its error matches that of the likelihood ratio test, which minimizes the sum of the Type-I and Type-II errors. If the density of the noise is known and non-Gaussian, the error of the test can be lowered by applying an entrywise transformation to the data matrix. We establish a central limit theorem for the linear spectral statistics of general rank-one spiked Wigner matrices as an intermediate step.

math.ST↗