Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

DOI10.1214/EJP.v17-1962zbMath1254.15036arXiv1110.5208OpenAlexW2134316321MaRDI QIDQ456245

Zhigang Bao, Wang Zhou, Guangming Pan

Publication date: 23 October 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.5208

zbMATH Keywords

Stieltjes transformeigenvaluesextreme eigenvaluessample covariance matricessample correlation matricesTracy-Widom law

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

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