Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions (Q2676949)
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scientific article; zbMATH DE number 7594084
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| English | Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions |
scientific article; zbMATH DE number 7594084 |
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Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions (English)
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28 September 2022
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edge universality
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elliptical distributions
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sample covariance matrices
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tail probability
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Tracy-Widom distribution
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