High-dimensional limits of eigenvalue distributions for general Wishart process

DOI10.1214/19-AAP1539zbMath1461.60052arXiv1901.02190OpenAlexW3047499964MaRDI QIDQ2657920

Yanyan Li

Publication date: 18 March 2021

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

Full work available at URL: https://arxiv.org/abs/1901.02190

zbMATH Keywords

eigenvalue distributionWishart processDyson Brownian motionsquared Bessel particle systemgeneralized Wishart processhigh-dimensional limit

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

Gaussian fluctuations for interacting particle systems with singular kernels ⋮ On eigenvalues of the Brownian sheet matrix ⋮ On collision of multiple eigenvalues for matrix-valued Gaussian processes ⋮ High-dimensional central limit theorems for a class of particle systems ⋮ Recent advances on eigenvalues of matrix-valued stochastic processes ⋮ Gaussian fluctuation for Gaussian Wishart matrices of overall correlation

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