What is a random matrix?
A random matrix sounds like it is some esoteric mathematical object – the sort of thing that is studied by mathematicians for fun but is of no practical use. Why should you care about random matrices as a data scientist?
As a data scientist, you have already been working with matrices. You know that they are useful. You know that a matrix is made up of matrix elements and that those elements are often formed from data. By now, you’re also most likely used to the idea that data has a random component, so a matrix formed from data must also have random matrix elements. This is what a random matrix is. A random matrix is just a matrix whose elements are drawn from a distribution. Random Matrix Theory (RMT) is the study of the properties of random matrices.
Usually, in RMT, the matrix elements are taken to be independent and identically distributed random variables (iid), but recent research in the RMT field has extended this to looking at more...
