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

被引：0

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;

D O I：

暂无

中图分类号：

学科分类号：

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.

引用

页码：88 / 123

页数：35

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