Infinite Random Matrix Theory

Lecture Notes

LEC #	TOPICS	LECTURE NOTES	SUPPORTING FILES
2	The Hermite Ensemble: Wigner’s Semi-Circle Law	Histogramming (PDF) Experiments with the Classical Ensembles (PDF)	Histogramming bellcurve.m (M)   histn.m (M)   momwigner.m (M) Experiments with the Classical Ensembles wigner.m (M)   wishart.m (M)   manova.m (M)   wigneredf.m (M)   wishartedf.m (M)   manovaedf.m (M)   classicexpt.m (M)
3	The Laguerre Ensemble: Marcenko-Pastur Theorem	The Stieltjes Transform Based Approach (PDF) (Courtesy of Raj Rao. Used with permission.)
5	The “Semi-Circular” Element: Central Limit Theorem for Infinite Random Matrices	Tridiagonal Matrices, Orthogonal Polynomials and the Classical Random Matrix Ensembles (PDF) (Courtesy of Brian Sutton. Used with permission.)	trijacobi.m (M)
6	Free Cumulants in Free Probability	Essentials of Finite Random Matrix Theory (PDF) Numerical Methods in Random Matrices (PDF) (Courtesy of Per-Olof Persson. Used with permission.)	Essentials of Finite Random Matrix Theory jsymeig.m (M)
7	Free Cumulants in Free Probability (cont.)	Project Ideas (PDF)