Poisson convergence for the largest eigenvalues of heavy tailed random matrices
From MaRDI portal
Abstract: We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in cite{Sos1}, we prove that, in the absence of the fourth moment, the top eigenvalues behave, in the limit, as the largest entries of the matrix.
Recommendations
- Random matrix theory for heavy-tailed time series
- On the top eigenvalue of heavy-tailed random matrices
- Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
- Extreme eigenvalues of sparse, heavy tailed random matrices
- Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
- Universality results for the largest eigenvalues of some sample covariance matrix ensembles
- Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
- Extremal eigenvalues of sample covariance matrices with general population
- The Tracy-Widom law for the largest eigenvalue of F type matrices
- Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- scientific article; zbMATH DE number 3244317 (Why is no real title available?)
- scientific article; zbMATH DE number 967931 (Why is no real title available?)
- A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
- Foundations of Modern Probability
- Necessary and sufficient conditions for almost sure convergence of the largest eigenvalue of a Wigner matrix
- On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
- On the top eigenvalue of heavy-tailed random matrices
- Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensembles
- Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
- Spectral measure of heavy tailed band and covariance random matrices
- The spectrum of heavy tailed random matrices
- Universality at the edge of the spectrum in Wigner random matrices.
- Universality of the edge distribution of eigenvalues of Wigner random matrices with polynomially decaying distributions of entries
- Wigner random matrices with non-symmetrically distributed entries
Cited in
(59)- Correlated random matrices: band rigidity and edge universality
- Largest eigenvalues of sparse inhomogeneous Erdős-Rényi graphs
- Large sample autocovariance matrices of linear processes with heavy tails
- More limiting distributions for eigenvalues of Wigner matrices
- Central limit theorems for linear statistics of heavy tailed random matrices
- Universality for certain Hermitian Wigner matrices under weak moment conditions
- On the spectral radius of a random matrix: an upper bound without fourth moment
- Edge universality of beta ensembles
- Poisson statistics and localization at the spectral edge of sparse Erdős-Rényi graphs
- On the largest singular values of random matrices with independent Cauchy entries
- Extremal eigenvalues and eigenvectors of deformed Wigner matrices
- Level statistics and localization transitions of Lévy matrices
- Product of exponentials and spectral radius of random \(k\)-circulants
- GOE statistics for Lévy matrices
- Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
- A necessary and sufficient condition for edge universality of Wigner matrices
- Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
- Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices
- Quantitative Version of a Silverstein’s Result
- On the top eigenvalue of heavy-tailed random matrices
- Bulk universality for generalized Wigner matrices with few moments
- Thin-shell theory for rotationally invariant random simplices
- Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
- Spectral measure of heavy tailed band and covariance random matrices
- Multifractality of eigenstates in the delocalized non-ergodic phase of some random matrix models: Wigner-Weisskopf approach
- Large sample correlation matrices: a comparison theorem and its applications
- Spectrum of heavy-tailed elliptic random matrices
- Eigenvectors of random matrices: A survey
- Extremal theory for spectrum of random discrete Schrödinger operator. II. Distributions with heavy tails
- Local Marchenko-Pastur law at the hard edge of sample covariance matrices
- Universality of local spectral statistics of random matrices
- Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
- Rigidity of eigenvalues of generalized Wigner matrices
- Spectral statistics of Erdős-Rényi graphs II: eigenvalue spacing and the extreme eigenvalues
- Spectrum of large random reversible Markov chains: heavy-tailed weights on the complete graph
- Bernoulli random matrices
- The asymptotic distribution of the condition number for random circulant matrices
- Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
- Poisson convergence of eigenvalues of circulant type matrices
- High-dimensional sample covariance matrices with Curie-Weiss entries
- Random matrix theory for heavy-tailed time series
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Extreme eigenvalues of sparse, heavy tailed random matrices
- Point process convergence for the off-diagonal entries of sample covariance matrices
- Localization transition in random Lévy matrices: multifractality of eigenvectors in the localized phase and at criticality
- Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
- Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
- Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
- scientific article; zbMATH DE number 7415108 (Why is no real title available?)
- Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensembles
- Random polytopes obtained by matrices with heavy-tailed entries
- Localization and delocalization for heavy tailed band matrices
- Random matrix theory in statistics: a review
- Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
- Eigenvector statistics of Lévy matrices
- Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model with heavy-tailed interaction
- Local tail statistics of heavy-tailed random matrix ensembles with unitary invariance
- Rare events in random matrix theory
- Finite rank perturbations of heavy-tailed Wigner matrices
This page was built for publication: Poisson convergence for the largest eigenvalues of heavy tailed random matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q731725)
