The largest eigenvalue of small rank perturbations of Hermitian random matrices

DOI10.1007/s00440-005-0466-zzbMath1088.15025arXivmath/0411487OpenAlexW2090980101MaRDI QIDQ816987

Publication date: 2 March 2006

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0411487

zbMATH Keywords

largest eigenvalue Hermitian random matrices rank perturbation statistics of extreme eigenvalues Wishart random matrices

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities involving eigenvalues and eigenvectors (15A42) Random matrices (algebraic aspects) (15B52)

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