A UNIVERSALITY RESULT FOR THE SMALLEST EIGENVALUES OF CERTAIN SAMPLE COVARIANCE MATRICES

被引：93

作者：

Feldheim, Ohad N. ^{[1
]}

Sodin, Sasha ^{[1
]}

机构：

[1] Tel Aviv Univ, Sackler Fac Exact Sci, Sch Math Sci, IL-69978 Tel Aviv, Israel

来源：

GEOMETRIC AND FUNCTIONAL ANALYSIS | 2010年 / 20卷 / 01期

关键词：

Universality; sample covariance; Tracy Widom; non-backtracking paths; EDGE; DISTRIBUTIONS; HARD;

D O I：

10.1007/s00039-010-0055-x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

After proper rescaling and under some technical assumptions, the smallest eigenvalue of a sample covariance matrix with aspect ratio bounded away from 1 converges to the Tracy-Widom distribution. This complements the results on the largest eigenvalue, due to Soshnikov and Peche

引用

页码：88 / 123

页数：36

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