Rare-event analysis for extremal eigenvalues of white Wishart matrices (Q2403431)

The extreme eigenvalues of white Wishart matrices, which play an important role in multivariate analysis are considered. In the scope of the consideration is a matrix where the dimension of the feature \(p\) is much larger than or comparable to the number of observations \(n\). In this paper, asymptotic approximations and bounds for the tail probabilities of the extremal eigenvalues are given by Monte Carlo simulations. They provide the best result among known approximation approaches. \(\beta\)-Laguerre ensembles of large random matrices are given.