Rank 1 real Wishart spiked model (Q3165463)

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Language	Label	Description	Also known as
English	Rank 1 real Wishart spiked model	scientific article

Statements

scholarly article

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Rank 1 real Wishart spiked model (English)

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Communications on Pure and Applied Mathematics

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publication date

26 October 2012

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full work available at URL

https://arxiv.org/abs/1101.5144

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zbMATH Keywords

Wishart matrix

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covariance matrix

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eigenvalue distribution

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phase transition

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largest value distribution

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principal component analysis

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asymptotic behavior

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Marchenko-Pastur law

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MaRDI profile type

MaRDI publication profile

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Classical skew orthogonal polynomials and random matrices

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Multiple orthogonal polynomials

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Large \(n\) limit of Gaussian random matrices with external source. II

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Multiple orthogonal polynomials for classical weights

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No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices

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On the Christoffel-Darboux kernel for random Hermitian matrices with external source

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Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices

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Eigenvalues of large sample covariance matrices of spiked population models

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On the Largest Eigenvalue of a Hermitian Random Matrix Model with Spiked External Source I. Rank 1 Case

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Some properties of angular integrals

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Spectra of random Hermitian matrices with a small-rank external source: the supercritical and subcritical regimes

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Spectra of random Hermitian matrices with a small-rank external source: the critical and near-critical regimes

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Random matrix model with external source and a constrained vector equilibrium problem

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Semiclassical orthogonal polynomials, matrix models and isomonodromic tau functions

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Asymptotics of the partition function of a random matrix model.

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Large \(n\) limit of Gaussian random matrices with external source. I

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Integral representations for multiple Hermite and multiple Laguerre polynomials.

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Large \(n\) limit of Gaussian random matrices with external source. III: Double scaling limit

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Limits of spiked random matrices. I

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Fredholm determinants, Jimbo‐Miwa‐Ueno τ‐functions, and representation theory

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Higher-order analogues of the Tracy-Widom distribution and the Painlevé II hierarchy

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A Christoffel--Darboux formula for multiple orthogonal polynomials

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Universality at the edge of the spectrum for unitary, orthogonal, and symplectic ensembles of random matrices

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Universality in Random Matrix Theory for orthogonal and symplectic ensembles

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Universality for orthogonal and symplectic Laguerre-type ensembles

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Asymptotics of the Airy-kernel determinant

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A Riemann-Hilbert approach to asymptotic problems arising in the theory of random matrix models, and also in the theory of integrable statistical mechanics

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Uniform asymptotics for polynomials orthogonal with respect to varying exponential weights and applications to universality questions in random matrix theory

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

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The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case

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PROBABILITY DENSITIES AND DISTRIBUTIONS FOR SPIKED AND GENERAL VARIANCE WISHART β-ENSEMBLES

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Explaining the single factor bias of arbitrage pricing models in finite samples

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Differential Operators on a Semisimple Lie Algebra

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DIFFERENTIAL EQUATIONS FOR QUANTUM CORRELATION FUNCTIONS

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The planar approximation. II

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Zonal polynomials of the real positive definite symmetric matrices

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On fluctuations of eigenvalues of random Hermitian matrices.

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On the distribution of the largest eigenvalue in principal components analysis

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Combinatorics of dispersionless integrable systems and universality in random matrix theory

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Exact minimum eigenvalue distribution of an entangled random pure state

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DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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On an Average over the Gaussian Unitary Ensemble

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Duality of orthogonal and symplectic matrix integrals and quaternionic Feynman graphs

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Numerical solution of Riemann-Hilbert problems: Painlevé II

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

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A Riemann-Hilbert problem for skew-orthogonal polynomials

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Edge universality for orthogonal ensembles of random matrices

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On universality for orthogonal ensembles of random matrices

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Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices

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On the empirical distribution of eigenvalues of a class of large dimensional random matrices

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Universality in orthogonal and symplectic invariant matrix models with quartic potential

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Fredholm determinants, differential equations and matrix models

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Level-spacing distributions and the Airy kernel

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On orthogonal and symplectic matrix ensembles

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Correlation functions, cluster functions, and spacing distributions for random matrices

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Matrix kernels for the Gaussian orthogonal and symplectic ensembles.

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Strong asymptotics of Laguerre-type orthogonal polynomials and applications in random matrix theory

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The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble

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The largest eigenvalue of real symmetric, Hermitian and Hermitian self-dual random matrix models with rank one external source. I

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On the relation between orthogonal, symplectic and unitary matrix ensembles

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Random Hermitian matrices in an external field

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Universality of correlation functions of Hermitian random matrices in an external field

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Identifiers

zbMATH Open document ID

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10.1002/cpa.21415

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3165463

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