Beyond universality in random matrix theory
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Abstract: In order to have a better understanding of finite random matrices with non-Gaussian entries, we study the expansion of local eigenvalue statistics in both the bulk and at the hard edge of the spectrum of random matrices. This gives valuable information about the smallest singular value not seen in universality laws. In particular, we show the dependence on the fourth moment (or the kurtosis) of the entries. This work makes use of the so-called complex Gaussian divisible ensembles for both Wigner and sample covariance matrices.
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Cited in
(26)- Extreme eigenvalue distributions of Jacobi ensembles: new exact representations, asymptotics and finite size corrections
- Optimal soft edge scaling variables for the Gaussian and Laguerre even \(\beta\) ensembles
- Applications of mesoscopic CLTs in random matrix theory
- Limiting behavior of large correlated Wishart matrices with chaotic entries
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- Breakdown of universality in random matrix models
- Universality in random moment problems
- Universality and scaling in random matrix models and random polynomials
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- Random covariance matrices: universality of local statistics of eigenvalues
- Universality of the distribution functions of random matrix theory
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- Permutation invariant Gaussian matrix models for financial correlation matrices
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