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Beta-ensembles with covariance

Author(s)
Dubbs, Alexander
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Massachusetts Institute of Technology. Department of Mathematics.
Advisor
Alan Edelman.
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M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582
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Abstract
This thesis presents analytic samplers for the [beta]-Wishart and [beta]-MANOVA ensembles with diagonal covariance. These generalize the [beta]-ensembles of Dumitriu-Edelman, Lippert, Killip-Nenciu, Forrester-Rains, and Edelman-Sutton, as well as the classical [beta] = 1, 2,4 ensembles of James, Li-Xue, and Constantine. Forrester discovered a sampler for the [beta]-Wishart ensemble around the same time, although our proof has key differences. We also derive the largest eigenvalue pdf for the [beta]-MANOVA case. In infinite-dimensional random matrix theory, we find the moments of the Wachter law, and the Jacobi parameters and free cumulants of the McKay and Wachter laws. We also present an algorithm that uses complex analysis to solve "The Moment Problem." It takes the first batch of moments of an analytic, compactly-supported distribution as input, and it outputs a fine discretization of that distribution.
Description
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Mathematics, 2014.
 
67
 
Cataloged from PDF version of thesis.
 
Includes bibliographical references (pages 73-79).
 
Date issued
2014
URI
http://hdl.handle.net/1721.1/90185
Department
Massachusetts Institute of Technology. Department of Mathematics
Publisher
Massachusetts Institute of Technology
Keywords
Mathematics.

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