Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
From MaRDI portal
Publication:6103980
DOI10.1214/22-aap1826zbMath1521.15033arXiv2108.02728OpenAlexW3192678511MaRDI QIDQ6103980
Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.02728
Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Tracy-Widom law for the largest eigenvalue of F type matrices
- Averaging fluctuations in resolvents of random band matrices
- Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
- Edge universality of beta ensembles
- Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
- Local law for random Gram matrices
- On the weak limit of the largest eigenvalue of a large dimensional sample covariance matrix
- Rigidity of eigenvalues of generalized Wigner matrices
- Anisotropic local laws for random matrices
- Spectral statistics of Erdős-Rényi graphs II: eigenvalue spacing and the extreme eigenvalues
- Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
- A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
- A universality result for the smallest eigenvalues of certain sample covariance matrices
- Random matrices: The distribution of the smallest singular values
- Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
- Universality results for the largest eigenvalues of some sample covariance matrix ensembles
- Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
- On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
- A limit theorem for the norm of random matrices
- The distribution and moments of the smallest eigenvalue of a random matrix of Wishart type
- Level-spacing distributions and the Airy kernel
- A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
- Janossy densities. II: Pfaffian ensembles
- Classical skew orthogonal polynomials and random matrices
- Universality at the edge of the spectrum in Wigner random matrices.
- Local law and Tracy-Widom limit for sparse random matrices
- A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
- Fixed energy universality of Dyson Brownian motion
- Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
- A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications
- On the relation between orthogonal, symplectic and unitary matrix ensembles
- On the distribution of the largest eigenvalue in principal components analysis
- Principal component analysis.
- On orthogonal and symplectic matrix ensembles
- Random matrices: Universality of local eigenvalue statistics up to the edge
- The spectrum edge of random matrix ensembles.
- Shape fluctuations and random matrices
- Fluctuations of extreme eigenvalues of sparse Erdős-Rényi graphs
- Tracy-Widom at each edge of real covariance and MANOVA estimators
- Extreme gaps between eigenvalues of Wigner matrices
- Convergence rate to the Tracy-Widom laws for the largest eigenvalue of Wigner matrices
- Correlated random matrices: band rigidity and edge universality
- Edge universality of separable covariance matrices
- Tracy-Widom limit for Kendall's tau
- Universality for the largest eigenvalue of sample covariance matrices with general population
- Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
- Mesoscopic eigenvalue statistics of Wigner matrices
- The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
- A necessary and sufficient condition for edge universality of Wigner matrices
- Isotropic local laws for sample covariance and generalized Wigner matrices
- Random matrix theory in statistics: a review
- Universality of covariance matrices
- Universality for orthogonal and symplectic Laguerre-type ensembles
- Determinantal random point fields
- Fixed Energy Universality for Generalized Wigner Matrices
- RANDOM COVARIANCE MATRICES: UNIVERSALITY OF LOCAL STATISTICS OF EIGENVALUES UP TO THE EDGE
- Course 1 Random matrices and determinantal processes
- Testing Hypotheses About the Number of Factors in Large Factor Models
- Asymptotic distribution of smoothed eigenvalue density. II. Wigner random matrices
- Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE
- RANDOM MATRICES WITH SLOW CORRELATION DECAY
- Linear differential equations for the resolvents of the classical matrix ensembles
- Large Sample Covariance Matrices and High-Dimensional Data Analysis
- Performance of Statistical Tests for Single-Source Detection Using Random Matrix Theory
- Asymptotic properties of large random matrices with independent entries
- A Dynamical Approach to Random Matrix Theory
- Universality of local eigenvalue statistics for some sample covariance matrices
- On a Heuristic Method of Test Construction and its use in Multivariate Analysis
- Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit
This page was built for publication: Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices