A rate of convergence result for the largest eigenvalue of complex white Wishart matrices

DOI10.1214/009117906000000502zbMath1108.62014arXivmath/0409610OpenAlexW1964492749MaRDI QIDQ874730

Noureddine El Karoui

Publication date: 10 April 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0409610

zbMATH Keywords

Fredholm determinantrandom matrix theoryLiouville-Green approximationTracy-Widom distributionWishart matricestrace class operators

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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Uses Software

• DLMF

Cites Work

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