The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices

DOI10.1214/07-AAP454zbMath1141.60009arXiv0803.4155OpenAlexW2072656560MaRDI QIDQ2426602

Alexei Onatski

Publication date: 23 April 2008

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

Full work available at URL: https://arxiv.org/abs/0803.4155

zbMATH Keywords

random matrix theoryarbitrage pricing theorylargest eigenvaluesTracy-Widom distributionnumber of factorsapproximate factor modelsingular Wishart matrix

Mathematics Subject Classification ID

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

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