The Tracy-Widom distribution is not infinitely divisible

DOI10.1016/J.SPL.2016.11.029MaRDI QIDQ511548zbMATH OpenOpenAlexFDO

Authors J. Armando Domínguez-Molina

Publication date 21 February 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.02898

zbMATH Keywords

largest eigenvaluerandom matricestail probabilitiesbeta Hermite ensembles

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random matrices (probabilistic aspects) (60B20)

Abstract: The classical infinite divisibility of distributions related to eigenvalues of some random matrix ensembles is investigated. It is proved that the $$-Tracy-Widom distribution, which is the limiting distribution of the largest eigenvalue of a $$-Hermite ensemble, is not infinitely divisible. Furthermore, for each fixed $Nge2$ it is proved that the largest eigenvalue of a GOE/GUE random matrix is not infinitely divisible.

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Cited in

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