The right tail exponent of the Tracy-Widom distribution
From MaRDI portal
Publication:376680
DOI10.1214/11-AIHP475zbMATH Open1278.60012arXiv1102.4818MaRDI QIDQ376680FDOQ376680
Authors: Laure Dumaz, Balint Virag 
Publication date: 19 November 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: The Tracy-Widom beta distribution is the large dimensional limit of the top eigenvalue of beta random matrix ensembles. We use the stochastic Airy operator representation to show that as a tends to infinity the tail of the Tracy Widom distribution satisfies P(TW_beta > a) = a^(-3/4 beta+o(1)) exp(-2/3 beta a^(3/2)).
Full work available at URL: https://arxiv.org/abs/1102.4818
Recommendations
Large deviations (60F10) Random matrices (probabilistic aspects) (60B20) Random operators and equations (aspects of stochastic analysis) (60H25)
Cites Work
- Log-gases and random matrices.
- Matrix models for beta ensembles
- On orthogonal and symplectic matrix ensembles
- Level-spacing distributions and the Airy kernel
- Beta ensembles, stochastic Airy spectrum, and a diffusion
- Statistical Theory of the Energy Levels of Complex Systems. I
- Topological expansion of the \(\beta\)-ensemble model and quantum algebraic geometry in the sectorwise approach
- Some eigenvalue distribution functions of the Laguerre ensemble
- Large gaps between random eigenvalues
Cited In (27)
- Linear differential equations for the resolvents of the classical matrix ensembles
- Lower tail of the KPZ equation
- On the Tracy-Widom\(_\beta\) distribution for \(\beta=6\)
- The Bessel kernel determinant on large intervals and Birkhoff's ergodic theorem
- Recursion for the smallest eigenvalue density of \(\beta \)-Wishart-Laguerre ensemble
- Top eigenvalue of a random matrix: large deviations and third order phase transition
- Exact lower-tail large deviations of the KPZ equation
- Painlevé representation of Tracy-Widom\(_\beta\) distribution for \(\beta=6\)
- Extreme value statistics of correlated random variables: a pedagogical review
- The moment convergence rates for largest eigenvalues of \(\beta\) ensembles
- Universality of the stochastic Airy operator
- Computing the Tracy-Widom distribution for arbitrary \(\beta>0\)
- A localization theorem for the planar Coulomb gas in an external field
- Tracy-Widom at high temperature
- Random matrices in non-confining potentials
- Right tail asymptotic expansion of Tracy-Widom beta laws
- Beta ensembles, stochastic Airy spectrum, and a diffusion
- Asymptotics for products of characteristic polynomials in classical \(\beta\)-ensembles
- Stochastic comparisons of Tracy-Widom \(\beta\) distributions
- Upper-tail large deviation principle for the ASEP
- Limits for circular Jacobi beta-ensembles
- The Tracy-Widom distribution is not infinitely divisible
- At the edge of a one-dimensional jellium
- Singular value perturbation and deep network optimization
- Localization of the continuous Anderson Hamiltonian in 1-d
- Large gap asymptotics on annuli in the random normal matrix model
- Large deformations of the Tracy-Widom distribution. I: Non-oscillatory asymptotics
This page was built for publication: The right tail exponent of the Tracy-Widom \(\beta\) distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q376680)
