A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices

DOI10.1214/17-AAP1341zbMath1426.15052arXiv1607.06873WikidataQ129736257 ScholiaQ129736257MaRDI QIDQ1661567

Xiucai Ding, Fan Yang

Publication date: 16 August 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06873

zbMATH Keywords

Tracy-Widom distributionMarchenko-Pastur lawsample covariance matricesedge universality

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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