A note on the expansion of the smallest eigenvalue distribution of the LUE at the hard edge

DOI10.1214/15-AAP1121zbMATH Open1345.60011arXiv1504.00235MaRDI QIDQ303977FDOQ303977

Authors: Folkmar Bornemann 

Publication date: 23 August 2016

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

Abstract: In a recent paper, Edelman, Guionnet and P'{e}ch'{e} conjectured a particular $n^{-1}$ correction term of the smallest eigenvalue distribution of the Laguerre unitary ensemble (LUE) of order $n$ in the hard-edge scaling limit: specifically, the derivative of the limit distribution, that is, the density, shows up in that correction term. We give a short proof by modifying the hard-edge scaling to achieve an optimal $O(n^{-2})$ rate of convergence of the smallest eigenvalue distribution. The appearance of the derivative follows then by a Taylor expansion of the less optimal, standard hard-edge scaling. We relate the $n^{-1}$ correction term further to the logarithmic derivative of the Bessel kernel Fredholm determinant in the work of Tracy and Widom.

Full work available at URL: https://arxiv.org/abs/1504.00235

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zbMATH Keywords

convergence raterandom matricesLaguerre unitary ensemblesmallest eigenvalue distribution

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (13)

• A Stirling-type formula for the distribution of the length of longest increasing subsequences
• Asymptotic correlations with corrections for the circular Jacobi \(\beta\)-ensemble
• Smallest eigenvalue density for regular or fixed-trace complex Wishart-Laguerre ensemble and entanglement in coupled kicked tops
• Finite-size corrections at the hard edge for the Laguerre \(\beta\) ensemble
• Beyond universality in random matrix theory
• Finite \(N\) corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices
• Extreme eigenvalues of random matrices from Jacobi ensembles
• Asymptotic expansions relating to the distribution of the length of longest increasing subsequences
• THE DISTRIBUTION OF THE FIRST EIGENVALUE SPACING AT THE HARD EDGE OF THE LAGUERRE UNITARY ENSEMBLE
• Optimal soft edge scaling variables for the Gaussian and Laguerre even \(\beta\) ensembles
• Harer-Zagier type recursion formula for the elliptic GinOE
• Extreme eigenvalue distributions of Jacobi ensembles: new exact representations, asymptotics and finite size corrections
• Rate of convergence at the hard edge for various Pólya ensembles of positive definite matrices

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