Extreme eigenvalue statistics of m-dependent heavy-tailed matrices

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dc.contributor.authorBasrak, Bojanko
dc.contributor.authorCho, Yeonokko
dc.contributor.authorHeiny, Johannesko
dc.contributor.authorJung, Paulko
dc.date.accessioned2021-11-09T06:41:56Z-
dc.date.available2021-11-09T06:41:56Z-
dc.date.created2021-11-09-
dc.date.created2021-11-09-
dc.date.created2021-11-09-
dc.date.created2021-11-09-
dc.date.issued2021-11-
dc.identifier.citationANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, v.57, no.4, pp.2100 - 2127-
dc.identifier.issn0246-0203-
dc.identifier.urihttp://hdl.handle.net/10203/288963-
dc.description.abstractWe 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.-
dc.languageEnglish-
dc.publisherINST MATHEMATICAL STATISTICS-IMS-
dc.titleExtreme eigenvalue statistics of m-dependent heavy-tailed matrices-
dc.typeArticle-
dc.identifier.wosid000709344100011-
dc.identifier.scopusid2-s2.0-85112497635-
dc.type.rimsART-
dc.citation.volume57-
dc.citation.issue4-
dc.citation.beginningpage2100-
dc.citation.endingpage2127-
dc.citation.publicationnameANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES-
dc.identifier.doi10.1214/21-AIHP1152-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorJung, Paul-
dc.contributor.nonIdAuthorBasrak, Bojan-
dc.contributor.nonIdAuthorHeiny, Johannes-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorDependent random matrices-
dc.subject.keywordAuthorLargest eigenvalue-
dc.subject.keywordAuthorHeavy-tailed random matrices-
dc.subject.keywordAuthorPoisson cluster process-
dc.subject.keywordAuthorMarked Poisson process-
dc.subject.keywordAuthorRegular variation-
dc.subject.keywordAuthorWigner matrix-
dc.subject.keywordAuthorSample covariance matrix-
dc.subject.keywordPlusSAMPLE COVARIANCE MATRICES-
dc.subject.keywordPlusWIGNER RANDOM MATRICES-
dc.subject.keywordPlusCONVERGENCE-
dc.subject.keywordPlusUNIVERSALITY-
dc.subject.keywordPlusSPECTRUM-
dc.subject.keywordPlusEDGE-
dc.subject.keywordPlusBAND-
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