Computing the Tracy-Widom distribution for arbitrary >0

MaRDI QIDQ6192138zbMATH OpenFDO

Authors Thomas Trogdon, Yiting Zhang

Publication date 12 February 2024

Published in SIGMA. Symmetry, Integrability and Geometry: Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2304.04951, https://www.emis.de/journals/SIGMA/2024/005/sigma24-005.pdf

zbMATH Keywords

Fourier transformationnumerical differential equationTracy-Widom distribution

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) PDEs with randomness, stochastic partial differential equations (35R60) Random matrices (probabilistic aspects) (60B20) Gaussian processes (60G15) Random operators and equations (aspects of stochastic analysis) (60H25) Other physical applications of random processes (60K40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

Abstract: We compute the Tracy-Widom distribution describing the asymptotic distribution of the largest eigenvalue of a large random matrix by solving a boundary-value problem posed by Bloemendal. The distribution is computed in two ways. The first method is a second-order finite-difference method and the second is a highly accurate Fourier spectral method. Since $$ is simply a parameter in the boundary-value problem, any $$ can be used, in principle. The limiting distribution of the $n$th largest eigenvalue can also be computed. Our methods are available in the Julia package TracyWidomBeta.jl.

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Cited in

(2)

• Stochastic comparisons of Tracy-Widom distributions
• The Tracy-Widom distribution at large Dyson index

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