The Tracy-Widom law for the largest eigenvalue of F type matrices

Publication date 7 September 2016

Abstract: Let

m a t h b b A_{p} = f r a c m a t h b b Y m a t h b b Y^{*} m

and

m a t h b b B_{p} = f r a c m a t h b b X m a t h b b X^{*} n

be two independent random matrices where

m a t h b b X = (X_{i j})_{p i m e s n}

and

m a t h b b Y = (Y_{i j})_{p i m e s m}

respectively consist of real (or complex) independent random variables with

m a t h b b E X_{i j} = m a t h b b E Y_{i j} = 0

,

m a t h b b E | X_{i j} |^{2} = m a t h b b E | Y_{i j} |^{2} = 1

. Denote by

l a m b d a_{1}

the largest root of the determinantal equation

d e t (l a m b d a m a t h b b A_{p} - m a t h b b B_{p}) = 0

. We establish the Tracy-Widom type universality for

l a m b d a_{1}

under some moment conditions on

X_{i j}

and

Y_{i j}

when

p / m

and

p / n

approach positive constants as

p i g h t a r r o w i n f t y

.

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