We study the squared singular value spectrum of a non-square product of independent real Gaussian matrices, equivalently the feature covariance spectrum of a deep linear neural network at initialization. Starting from the fixed-$m$ covariance diffusion previously obtained in the proportional depth-width limit, we record an equivalent matrix realization, describe its affine invariance, and derive the interacting diffusion satisfied by its eigenvalues. We then take a second limit, sending $m\to\infty$ on the accelerated spectral clock $\tau=mt$, which corresponds in this sequential construction to the relation $dm/n\to\bar\tau$. We establish convergence of the empirical spectral measure path to a deterministic mean-field limit and derive a closed Burgers equation for its $T$-transform. Together with the proportional depth-width limit, these results give a rigorous sequential route from the deep non-square Gaussian product to the free log-normal limit of its feature covariance spectrum; for more general initial laws, the transform yields a free multiplicative convolution form. We further analyze the support of the free log-normal law, give a fixed point iteration for numerical evaluation and a formal Marchenko--Pastur approximation at small time, and use the limiting spectrum to predict the risk in a toy random feature model.
We establish the sharp logarithmic order $(\log N)^{-1/2}$ for the expected $p$-Wasserstein distance, induced by the supremum norm, between the empirical law of $N$ independent copies of a continuous It\^o process and their common path law. We only assume that the initial condition and the drift and diffusion integrand...
We study a Brownian time change on the unit square whose speed measure is constructed from a Dirichlet eigenfunction expansion with independent non-Gaussian coefficients. For $0<\gamma<\sqrt2$, the measure is obtained by a second-moment martingale argument. Finite coefficient translations induce coherent exponential ti...
Given a strongly convex function $u$, equip $R^d$ with a Riemannian metric given by the Hessian $\nabla^2 u$. This is a so-called Hessian manifold. Given a probability density $\mu$ one may run a Langevin diffusion intrinsic to the manifold with stationary distribution $\mu$. Such (Hessian) manifold-valued Langevin dif...
Benjamin Capdeville, Young-Heon Kim, Soumik Pal· 0 citations
We prove an almost-everywhere Fourier central limit theorem for stationary random measures on $\bR^d$ with local second moments whose translation action is essentially free and has completely positive entropy. For the resulting almost-everywhere defined Bartlett density $s_\eta$, we show that there is a single $\lambda...
We provide limit theory for the trace of the squared sample correlation matrix $\mathbf R$, constructed from $n$ observations of a $p$-dimensional random vector with iid components. If the entries have finite fourth moment and $p$ and $n$ grow proportionally, it is known that $\operatorname{tr}({\mathbf R}^2)$ satisfie...
We consider a fractional Brownian motion $B$ with Hurst index $0<H<1/2$, and its maximiser $\tau$ on $[0,1]$. We show that the rescaled process $a^H(B_{\tau+\,\cdot\,/a}-B_\tau)$ converges in $C_{\mathrm{loc}}(\mathbb R)$ to a limiting tangent law that is $H$-self-similar, supported on nonpositive paths pinned at zero,...
C. Mönch· 0 citations
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