A Universality Result for the Smallest Eigenvalues of Certain Sample Covariance Matrices

被引：0
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作者：
Ohad N. Feldheim
Sasha Sodin
机构：
[1] Tel Aviv University,School of Mathematical Sciences, Sackler Faculty of Exact Sciences
来源：
Geometric and Functional Analysis | 2010年 / 20卷
关键词：
Universality; sample covariance; Tracy Widom; non-backtracking paths; 60B260B200;
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摘要：
After proper rescaling and under some technical assumptions, the smallest eigenvalue of a sample covariance matrix with aspect ratio bounded away from 1 converges to the Tracy–Widom distribution. This complements the results on the largest eigenvalue, due to Soshnikov and Péché.
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页码：88 / 123
页数：35
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