On the maximal domain of attraction of Tracy-Widom distribution for Gaussian unitary ensembles

DOI10.1016/j.spl.2013.06.029zbMath1288.60006MaRDI QIDQ2435764

Martin T. Wells, Rajendran Narayanan

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.06.029

zbMATH Keywords

random matrices; largest eigenvalue; extreme value theory; Gaussian unitary ensemble; Tracy-Widom distribution

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60B20: Random matrices (probabilistic aspects)

Related Items

On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots, Some new characterizations of max domains of attraction of Fréchet and log-Fréchet laws under power normalization

Uses Software

• DLMF

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