Soshnikov A. — A Note on Universality of the Distribution of the Largest Eigenvalues in Certain Sample Covariance Matrices
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Название: A Note on Universality of the Distribution of the Largest Eigenvalues in Certain Sample Covariance Matrices
Автор: Soshnikov A.
Аннотация:
Journal of Statistical Physics, Vol. 108, Nos. 5/6, September 2002. p. 1033-1056.
Recently Johansson(21) and Johnstone(16) proved that the distribution of the (properly rescaled) largest principal component of the complex (real) Wishart matrix converges to the Tracy–Widom law as n, p (the dimensions of X) tend to oo in some ratio n/p -> gamma > 0.
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