On the maximal domain of attraction of Tracy-Widom distribution for Gaussian unitary ensembles
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Publication:2435764
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
random matrices; largest eigenvalue; extreme value theory; Gaussian unitary ensemble; Tracy-Widom distribution
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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
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