Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices

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DOI10.1214/009117905000000233zbMath1086.15022arXivmath/0403022OpenAlexW2066459155WikidataQ56813022 ScholiaQ56813022MaRDI QIDQ2571691

Gérard Ben Arous, Sandrine Péché, Jinho Baik

Publication date: 14 November 2005

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

Full work available at URL: https://arxiv.org/abs/math/0403022

zbMATH Keywords

queueing percolation limit theorem random matrix limiting distribution Airy kernel Tracy-Widom distribution covariance matrices sample covariance largest eigenvalue distribution random Gram matrices

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Probability distributions: general theory (60E05) Queueing theory (aspects of probability theory) (60K25) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Eigenvalues, singular values, and eigenvectors (15A18) Phase transitions (general) in equilibrium statistical mechanics (82B26) Random matrices (algebraic aspects) (15B52) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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