Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges (Q726805)

The authors study the asymptotic behavior of eigenvalues of large complex correlated Wishart matrices at the edges of the limiting spectrum. In this case, the support of the limiting eigenvalue distribution may have several connected components. Under mild conditions for the population matrices, they show that for every generic positive edge of this support, there exists an extremal eigenvalue which converges almost surely toward that edge and fluctuates according to the Tracy-Widom law at the scale \(N^{2/3}\). Moreover, given several generic positive edges, they establish that the associated extremal eigenvalue fluctuations are asymptotically independent. Finally, when the leftmost edge is the origin (hard edge), the fluctuations of the smallest eigenvalue are described by means of the Bessel kernel at the scale \(N^2\).