Deformed Fréchet law for Wigner and sample covariance matrices with tail in crossover regime
Given A n : = 1 n ( a ij ) an n × n symmetric random matrix, with elements above the diagonal given by i.i.d. random variables having mean zero and unit variance. It is known that when lim x → ∞ x 4 P ( | a ij | > x ) = 0 , then fluctuation of the largest eigenvalue of A n follows a Tracy–Widom d...
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| Format: | Article |
| Language: | English |
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Springer Berlin Heidelberg
2024
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| Online Access: | https://hdl.handle.net/1721.1/157265 |