The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
From MaRDI portal
Publication:2426602
DOI10.1214/07-AAP454zbMath1141.60009arXiv0803.4155MaRDI QIDQ2426602
Publication date: 23 April 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0803.4155
random matrix theory; arbitrage pricing theory; largest eigenvalues; Tracy-Widom distribution; number of factors; approximate factor model; singular Wishart matrix
Related Items
Limits of spiked random matrices. I, Current fluctuations for TASEP: A proof of the Prähofer-Spohn conjecture, Central limit theorems for eigenvalues of deformations of Wigner matrices, PROBABILITY DENSITIES AND DISTRIBUTIONS FOR SPIKED AND GENERAL VARIANCE WISHART β-ENSEMBLES, The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case, Rank 1 real Wishart spiked model, Limit process of stationary TASEP near the characteristic line
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Complex singular Wishart matrices and applications
- Level-spacing distributions and the Airy kernel
- A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
- Correlation functions, cluster functions, and spacing distributions for random matrices
- Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
- Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
- Determinantal random point fields
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Forecasting Using Principal Components From a Large Number of Predictors
- Determining the Number of Factors in Approximate Factor Models
- Normal Multivariate Analysis and the Orthogonal Group
- Discrete orthogonal polynomial ensembles and the Plancherel measure
