Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices

DOI10.1214/009117906000000917zbMath1117.60020arXivmath/0503109OpenAlexW3106326876MaRDI QIDQ2371951

Noureddine El Karoui

Publication date: 9 July 2007

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

Full work available at URL: https://arxiv.org/abs/math/0503109

zbMATH Keywords

random matrix theoryToeplitz matricesTracy-Widom distributionsWishart matricestrace class operatorssteepest descent analysisoperator determinants

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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