Large Deviations of the Maximum Eigenvalue for Wishart and Gaussian Random Matrices
نویسندگان
چکیده
منابع مشابه
Large deviations of the maximum eigenvalue for wishart and Gaussian random matrices.
We present a Coulomb gas method to calculate analytically the probability of rare events where the maximum eigenvalue of a random matrix is much larger than its typical value. The large deviation function that characterizes this probability is computed explicitly for Wishart and Gaussian ensembles. The method is general and applies to other related problems, e.g., the joint large deviation func...
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ژورنال
عنوان ژورنال: Physical Review Letters
سال: 2009
ISSN: 0031-9007,1079-7114
DOI: 10.1103/physrevlett.102.060601