Peng Feng

Covariance spectra of random linear systems near instability

We study how stationary variance is distributed among the principal components of a randomly coupled linear system near instability. The coupling matrix has entries $N^{-1/2}\xi_{ij}$, where the $\xi_{ij}$ are independent copies of a bounded, centered real random variable of variance one. As $N\to\infty$ and the excess...