Tracy-Widom law for the extreme eigenvalues of sample correlation matrices (Q456245)
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scientific article; zbMATH DE number 6098171
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| English | Tracy-Widom law for the extreme eigenvalues of sample correlation matrices |
scientific article; zbMATH DE number 6098171 |
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Tracy-Widom law for the extreme eigenvalues of sample correlation matrices (English)
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23 October 2012
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extreme eigenvalues
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sample correlation matrices
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sample covariance matrices
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Stieltjes transform
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Tracy-Widom law
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eigenvalues
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0.8091112971305847
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0.8085771799087524
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0.8073787689208984
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0.8037140369415283
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