Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
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Publication:511489
DOI10.1214/16-AAP1193zbMath1384.60026arXiv1409.4979OpenAlexW2963270653MaRDI QIDQ511489
Publication date: 21 February 2017
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.4979
Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)
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