Extreme eigenvalue statistics of m-dependent heavy-tailed matrices

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 84
  • Download : 29
We analyze the largest eigenvalue statistics of m-dependent heavy-tailed Wigner matrices as well as the associated sample covariance matrices having entry-wise regularly varying tail distributions with parameter alpha is an element of (0, 4). Our analysis extends results in the previous literature for the corresponding random matrices with independent entries above the diagonal, by allowing for m-dependence between the entries of a given matrix. We prove that the limiting point process of extreme eigenvalues is a Poisson cluster process.
Publisher
INST MATHEMATICAL STATISTICS-IMS
Issue Date
2021-11
Language
English
Article Type
Article
Citation

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, v.57, no.4, pp.2100 - 2127

ISSN
0246-0203
DOI
10.1214/21-AIHP1152
URI
http://hdl.handle.net/10203/288963
Appears in Collection
MA-Journal Papers(저널논문)
Files in This Item

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0