Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices

DOI10.1214/22-aap1826zbMath1521.15033arXiv2108.02728OpenAlexW3192678511MaRDI QIDQ6103980

Yuanyuan Xu, Kevin Schnelli

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

zbMATH Keywords

rate of convergencesample covariance matrixTracy-Widom law

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

Related Items (1)

On the rightmost eigenvalue of non-Hermitian random matrices

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