Finite \(N\) corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices (Q2800839)

The authors study the probability density function (PDF) of the smallest eigenvalue of Laguerre-Wishart matrices \(W=X^+X\) where \(X\) is a random \(M\times N\) \((M\geq N)\) matrix, with complex Gaussian independent entries. They compute this PDF in terms of semi-classical orthogonal polynomials, which are deformations of Laguerre polynomials. By analyzing these polynomials, and their associated recurrence relations, in the limit of large \(N\), large \(M\) with \(M/N\to 1\) -- i.e. for quasi-square large matrices \(X\) -- they show that this PDF, in the hard edge limit, can be expressed in terms of the solution of a Painlevé III equation, as found by Tracy and Widom, using Fredholm operator techniques. Furthermore, their method allows to compute explicitly the first \(1/N\) corrections to this limiting distribution at the hard edge. The computations confirm a recent conjecture by \textit{A. Edelman}, \textit{A. Guionnet} and \textit{S. Péché} [``Beyond universality in random matrix theory'', Preprint, \url{arXiv:1405.7590}]. They also study the soft edge limit, when \(M(N)\sim \mathcal{O} (N)\), for which they conjecture the form of the first correction to the limiting distribution of the smallest eigenvalue.