A universality result for the smallest eigenvalues of certain sample covariance matrices Ohad
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چکیده
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. PRELIMINARY VERSION
منابع مشابه
A pr 2 00 9 A universality result for the smallest eigenvalues of certain sample covariance matrices
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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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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