Edgeworth expansion of the largest eigenvalue distribution function of Gaussian unitary ensemble revisited

DOI10.1063/1.2873345MaRDI QIDQ3544678zbMATH OpenOpenAlexFDO

Authors Leonard N. Choup

Publication date 8 December 2008

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.4206

Mathematics Subject Classification ID

Gaussian processes (60G15) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

Abstract: We derive expansions of the resolvent Rn(x;y;t)=(Qn(x;t)Pn(y;t)-Qn(y;t)Pn(x;t))/(x-y) of the Hermite kernel Kn at the edge of the spectrum of the finite n Gaussian Unitary Ensemble (GUEn) and the finite n expansion of Qn(x;t) and Pn(x;t). Using these large n expansions, we give another proof of the derivation of an Edgeworth type theorem for the largest eigenvalue distribution function of GUEn. We conclude with a brief discussion on the derivation of the probability distribution function of the corresponding largest eigenvalue in the Gaussian Orthogonal Ensemble (GOEn) and Gaussian Symplectic Ensembles (GSEn).

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• Edgeworth expansion of the largest eigenvalue distribution function of Gaussian orthogonal ensemble
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Cites work

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Cited in

(7)

• Limiting distribution of maximal crossing and nesting of Poissonized random matchings
• Edgeworth expansion of the largest eigenvalue distribution function of GUE and LUE
• Edgeworth expansion of the largest eigenvalue distribution function of Gaussian orthogonal ensemble
• Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE
• Asymptotic independence of the extreme eigenvalues of Gaussian unitary ensemble
• Fast approach to the tracy-widom law at the edge of GOE and GUE
• Asymptotic expansions of the limit laws of Gaussian and Laguerre (Wishart) ensembles at the soft edge

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