Random Matrices

Franz Lehner and Adrian Celestino

Link to Exercises

    Literature

    We will mostly follow the lecture notes of Roland Speicher.
  1. R. Speicher, Lecture Notes on Random Matrices (2020), also appeared as Lectures on Random Matrices, EMS 2024,
  2. R. Speicher, Lecture Notes on High-Dimensional Analysis (2023)

    3. Other helpful books:
  3. R. Couillet & Z. Liao, Random Matrix Methods for Machine Learning, Cambridge 2022
  4. M. Potters & J.-P. Bouchaud, A First Course in Random Matrix Theory, Cambridge 2020
  5. R. Vershynin, High-Dimensional Probability, Cambridge 2018, and author's updated version (2024)