Precise deviations results for the maxima of some determinantal point processes: the upper tail

DOI10.3842/SIGMA.2016.093MaRDI QIDQ318949zbMATH OpenOpenAlexFDO

Authors Peter Eichelsbacher, Thomas Kriecherbauer, Katharina Schüler

Publication date 6 October 2016

Published in SIGMA. Symmetry, Integrability and Geometry: Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.04328

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zbMATH Keywords

large deviationsmoderate deviationsrandom matricesorthogonal polynomialsRiemann-Hilbert problemdeterminantal point processesextreme value distributionTracy-Widom distributionChristoffel-Darboux kernelsuperlarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Random matrices (probabilistic aspects) (60B20) Riemann-Hilbert problems in context of PDEs (35Q15) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

Abstract: We prove precise deviations results in the sense of Cram'er and Petrov for the upper tail of the distribution of the maximal value for a special class of determinantal point processes that play an important role in random matrix theory. Here we cover all three regimes of moderate, large and superlarge deviations for which we determine the leading order description of the tail probabilities. As a corollary of our results we identify the region within the regime of moderate deviations for which the limiting Tracy-Widom law still predicts the correct leading order behavior. Our proofs use that the determinantal point process is given by the Christoffel-Darboux kernel for an associated family of orthogonal polynomials. The necessary asymptotic information on this kernel has mostly been obtained in [Kriecherbauer T., Schubert K., Sch"uler K., Venker M., Markov Process. Related Fields 21 (2015), 639-694]. In the superlarge regime these results of do not suffice and we put stronger assumptions on the point processes. The results of the present paper and the relevant parts of [Kriecherbauer T., Schubert K., Sch"uler K., Venker M., Markov Process. Related Fields 21 (2015), 639-694] have been proved in the dissertation [Sch"uler K., Ph.D. Thesis, Universit"at Bayreuth, 2015].

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Cited in

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