Distribution Functions for Edge Eigenvalues in Orthogonal and Symplectic Ensembles: Painlev\'e Representations II

MaRDI QIDQ6475702zbMATH OpenFDO

Authors Momar Dieng

Publication date 29 June 2005

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99)

Abstract: We derive Painlev'e--type expressions for the distribution of the $m^{th}$ largest eigenvalue in the Gaussian Orthogonal and Symplectic Ensembles in the edge scaling limit. This work generalizes to general $m$ the $m=1$ results of Tracy and Widom [23]. The results of Johnstone and Soshnikov (see [15], [19]) imply the immediate relevance of our formulas for the $m^{th}$ largest eigenvalue of the appropriate Wishart distribution.

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