Local law and Tracy-Widom limit for sparse sample covariance matrices

DOI10.1214/19-AAP1472zbMath1447.60023arXiv1806.03186OpenAlexW2980443884MaRDI QIDQ2286459

Ji Oon Lee, Kevin Schnelli, Jong Yun Hwang

Publication date: 22 January 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.03186

zbMATH Keywords

Tracy-Widom distributionlocal lawhigh-dimensional sample covariance matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

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