Large deviations for the largest eigenvalue of generalized sample covariance matrices

DOI10.1214/24-EJP1228MaRDI QIDQ7025667zbMATH OpenFDO

Authors Jonathan Husson, Benjamin Mckenna

Publication date 19 February 2025

Published in Electronic Journal of Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-probability/volume-29/issue-none/Large-deviations-for-the-largest-eigenvalue-of-generalized-sample-covariance/10.1214/24-EJP1228.full

zbMATH Keywords

deformed Wigner matriceslarge deviationssample covariance matricesWishart matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Large deviations (60F10)

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Cited in

(1)

• Large deviations of the largest eigenvalue for deformed GOE/GUE random matrices via replica

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