Finite N corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices

DOI10.1142/S2010326316500015zbMATH Open1381.15031arXiv1506.02387OpenAlexW3101308401MaRDI QIDQ2800839FDOQ2800839

Authors: Anthony Perret, Grégory Schehr 

Publication date: 18 April 2016

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: We study the probability distribution function (PDF) of the smallest eigenvalue of Laguerre-Wishart matrices $W=X^{d}aggerX$ where $X$ is a random $MimesN$ ($MgeqN$) matrix, with complex Gaussian independent entries. We compute this PDF in terms of semi-classical orthogonal polynomials, which are deformations of Laguerre polynomials. By analyzing these polynomials, and their associated recurrence relations, in the limit of large $N$, large $M$ with $M/No1$ -- i.e. for quasi-square large matrices $X$ -- we show that this PDF, in the hard edge limit, can be expressed in terms of the solution of a Painlev'e III equation, as found by Tracy and Widom, using Fredholm operators techniques. Furthermore, our method allows us to compute explicitly the first $1/N$ corrections to this limiting distribution at the hard edge. Our computations confirm a recent conjecture by Edelman, Guionnet and P'ech'e. We also study the soft edge limit, when $M-NsimcalO(N)$, for which we conjecture the form of the first correction to the limiting distribution of the smallest eigenvalue.

Full work available at URL: https://arxiv.org/abs/1506.02387

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zbMATH Keywords

random matricesFredholm operatorsemi-classical orthogonal polynomialsWishart matricesextreme eigenvaluePainlevé equations

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (22)

• Asymptotic correlations with corrections for the circular Jacobi \(\beta\)-ensemble
• Distribution of the smallest eigenvalue in complex and real correlated Wishart ensembles
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