DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Ji Oon | ko |
dc.contributor.author | Schnelli, Kevin | ko |
dc.date.accessioned | 2017-01-13T04:59:30Z | - |
dc.date.available | 2017-01-13T04:59:30Z | - |
dc.date.created | 2016-12-29 | - |
dc.date.created | 2016-12-29 | - |
dc.date.created | 2016-12-29 | - |
dc.date.created | 2016-12-29 | - |
dc.date.issued | 2016-12 | - |
dc.identifier.citation | ANNALS OF APPLIED PROBABILITY, v.26, no.6, pp.3786 - 3839 | - |
dc.identifier.issn | 1050-5164 | - |
dc.identifier.uri | http://hdl.handle.net/10203/218734 | - |
dc.description.abstract | We consider sample covariance matrices of the form Q = (Sigma X-1/2)((EX)-X-1/2)*, where the sample X is an M x N random matrix whose entries are real independent random variables with variance 1/N and where Sigma is an M x M positive-definite deterministic matrix. We analyze the asymptotic fluctuations of the largest resealed eigenvalue of Q when both M and N tend to infinity with N/M -> d is an element of (0, infinity). For a large class of populations Sigma in the sub-critical regime, we show that the distribution of the largest rescaled eigenvalue of Q is given by the type-1 Tracy-Widom distribution under the additional assumptions that (1) either the entries of X are i.i.d. Gaussians or (2) that Sigma is diagonal and that the entries of X have a sub-exponential decay. | - |
dc.language | English | - |
dc.publisher | INST MATHEMATICAL STATISTICS | - |
dc.title | TRACY-WIDOM DISTRIBUTION FOR THE LARGEST EIGENVALUE OF REAL SAMPLE COVARIANCE MATRICES WITH GENERAL POPULATION | - |
dc.type | Article | - |
dc.identifier.wosid | 000391240100016 | - |
dc.identifier.scopusid | 2-s2.0-85008873489 | - |
dc.type.rims | ART | - |
dc.citation.volume | 26 | - |
dc.citation.issue | 6 | - |
dc.citation.beginningpage | 3786 | - |
dc.citation.endingpage | 3839 | - |
dc.citation.publicationname | ANNALS OF APPLIED PROBABILITY | - |
dc.identifier.doi | 10.1214/16-AAP1193 | - |
dc.contributor.localauthor | Lee, Ji Oon | - |
dc.contributor.nonIdAuthor | Schnelli, Kevin | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Sample covariance matrix | - |
dc.subject.keywordAuthor | Tracy-Widom distribution | - |
dc.subject.keywordAuthor | edge universality | - |
dc.subject.keywordPlus | WIGNER MATRICES | - |
dc.subject.keywordPlus | UNIVERSALITY | - |
dc.subject.keywordPlus | STATISTICS | - |
dc.subject.keywordPlus | LIMIT | - |
dc.subject.keywordPlus | ENSEMBLES | - |
dc.subject.keywordPlus | FLUCTUATIONS | - |
dc.subject.keywordPlus | SIGNALS | - |
dc.subject.keywordPlus | EDGE | - |
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