scientific article; zbMATH DE number 1751748

MaRDI QIDQ4534571zbMATH OpenFDO

Authors Craig A. Tracy, Harold Widom

Publication date 4 July 2002

Full work available at URL https://arxiv.org/abs/solv-int/9901004

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Painlevé and other special ordinary differential equations in the complex domain; classification, hierarchies (34M55) Painlevé-type functions (33E17)

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• Painlevé formulas of the limiting distributions for nonnull complex sample covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• Fredholm determinant representation of the homogeneous Painlevé II τ-function
• Application of theτ-function theory of Painlevé equations to random matrices:P_VI, the JUE, CyUE, cJUE and scaled limits
• Edgeworth expansion of the largest eigenvalue distribution function of GUE and LUE
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• A recursion formula for the moments of the Gaussian orthogonal ensemble
• The tacnode Riemann-Hilbert problem
• Level-spacing distributions and the Airy kernel
• Lower tail of the KPZ equation
• Asymptotics for the covariance of the Airy\(_{2}\) process
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