Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensembles

DOI10.1007/3-540-34273-7_26MaRDI QIDQ5192458zbMATH OpenOpenAlexFDO

Authors A. Soshnikov

Publication date 5 August 2009

Published in Mathematical Physics of Quantum Mechanics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0504562

zbMATH Keywords

largest eigenvaluesWigner ensembleWigner real symmetric (Hermitian) random matricesWishart sample covariance real (complex) random matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

Abstract: The paper studies the spectral properties of large Wigner, band and sample covariance random matrices with heavy tails of the marginal distributions of matrix entries.

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Cited in

(27)

• Extreme eigenvalues of Laplacian random matrices with Gaussian entries (with an appendix by Santiago Arenas-Velilla and Victor Perez-Abreu)
• On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
• Product of exponentials and spectral radius of random k-circulants
• Order statistics of the moduli of the eigenvalues of product random matrices from polynomial ensembles
• Poisson convergence of eigenvalues of circulant type matrices
• Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Random matrix theory in statistics: a review
• Eigenvectors of random matrices: A survey
• Localization and delocalization for heavy tailed band matrices
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
• Phase transition for the bottom singular vector of rectangular random matrices
• Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
• Poisson convergence for the largest eigenvalues of heavy tailed random matrices
• The spectrum of heavy tailed random matrices
• Large sample autocovariance matrices of linear processes with heavy tails
• Scaled limit and rate of convergence for the largest eigenvalue from the generalized Cauchy random matrix ensemble
• Random matrix theory for heavy-tailed time series
• On the largest singular values of random matrices with independent Cauchy entries
• Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
• The ergodicity landscape of quantum theories
• Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
• Point process convergence for the off-diagonal entries of sample covariance matrices
• Poisson eigenvalue statistics for random Schrödinger operators on regular graphs
• Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series

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