Large deviations principle for the largest eigenvalue of Wigner matrices without Gaussian tails

DOI10.1214/16-EJP4146zbMATH Open1338.60010arXiv1502.07983OpenAlexW2963016815MaRDI QIDQ287741FDOQ287741

Authors: Fanny Augeri 

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We prove a large deviation principle for the largest eigenvalue of Wigner matrices without Gaussian tails, namely such that the distribution tails $mathbbP(|X_{1,1}|>t)$ and $mathbbP(|X_{1,2}|>t)$ behave like $e^{-b{t}^{alpha}}$ and $e^{-a{t}^{alpha}}$ respectively for some $a,bin(0,+infty)$ and $alphain(0,2)$. The large deviation principle is of speed $N^{alpha/2}$ and with a good rate function depending only on the tail distribution of the entries.

Full work available at URL: https://arxiv.org/abs/1502.07983

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zbMATH Keywords

large deviationsrandom matrices

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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