Random matrices: Universality and applications for PCA

Random matrices: Universality and applications for PCA

Neyman Seminar
Feb 10, 2014, 01:00 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Jun Yin, University of Wisconsin-Madison
Large random matrices exhibit the striking phenomenon of universality: under very general assumptions on the matrix entries, the limiting local statistics coincide with those of a Gaussian matrix ensemble. In the first part of the talk, I review some recent results on the universality of random matrices. In contrast, universality breaks down for so-called deformed matrix ensembles. A detailed...