Rare-event analysis for extremal eigenvalues of white Wishart matrices

DOI10.1214/16-AOS1502zbMath1377.65013arXiv1408.6892MaRDI QIDQ2403431

Gongjun Xu, Kevin Leder, Tiefeng Jiang

Publication date: 8 September 2017

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

Full work available at URL: https://arxiv.org/abs/1408.6892

zbMATH Keywords

importance samplingMonte Carlo simulationsextremal eigenvaluesrandom matrixWishart matrices\(\beta\)-Laguerre ensemble

Mathematics Subject Classification ID

Multivariate analysis (62H99) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Random matrices (probabilistic aspects) (60B20) Monte Carlo methods (65C05) Random matrices (algebraic aspects) (15B52)

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