Universality of covariance matrices

DOI10.1214/13-AAP939zbMath1296.15021arXiv1110.2501MaRDI QIDQ2454401

Natesh S. Pillai, Jun Yin

Publication date: 13 June 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2501

zbMATH Keywords

Stieltjes transform; covariance matrix; universality; Wishart matrix; Dyson Brownian motion; Tracy-Widom law; Marcenko-Pastur law; asymptotic distribution of the eigenvalues; extremal singular values; local statistics of eigenvalues

Mathematics Subject Classification ID

60B20: Random matrices (probabilistic aspects)

60J65: Brownian motion

82B44: Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics

15A18: Eigenvalues, singular values, and eigenvectors

15B52: Random matrices (algebraic aspects)

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