Extreme eigenvalues of sparse, heavy tailed random matrices

DOI10.1016/J.SPA.2016.04.029zbMath1350.60047arXiv1506.06175OpenAlexW1960588427MaRDI QIDQ326830

Si Tang, Antonio Auffinger

Publication date: 12 October 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.06175

zbMATH Keywords

random matricesextreme eigenvaluesheavy tailsparsity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Extreme value theory; extremal stochastic processes (60G70) Random matrices (algebraic aspects) (15B52)

Related Items (7)

Norms of random matrices: local and global problems ⋮ Eigenvector statistics of Lévy matrices ⋮ Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices ⋮ The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails ⋮ Spectrum of heavy-tailed elliptic random matrices ⋮ Constructive regularization of the random matrix norm ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random covariance matrices: universality of local statistics of eigenvalues
• Localization and delocalization for heavy tailed band matrices
• The spectral edge of some random band matrices
• Spectral statistics of Erdős-Rényi graphs II: eigenvalue spacing and the extreme eigenvalues
• Poisson convergence for the largest eigenvalues of heavy tailed random matrices
• Largest eigenvalues and eigenvectors of band or sparse random matrices
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• A note on the largest eigenvalue of a large dimensional sample covariance matrix
• Necessary and sufficient conditions for almost sure convergence of the largest eigenvalue of a Wigner matrix
• Universality at the edge of the spectrum in Wigner random matrices.
• Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
• Central limit theorem for eigenvectors of heavy tailed matrices
• A necessary and sufficient condition for edge universality of Wigner matrices
• Probability Inequalities for the Sum of Independent Random Variables
• Density of states of sparse random matrices
• An Introduction to Random Matrices
• Sparse random matrices: the eigenvalue spectrum revisited
• Spectral density of complex networks with two species of nodes
• Spectral density of sparse sample covariance matrices

This page was built for publication: Extreme eigenvalues of sparse, heavy tailed random matrices