Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions
DOI10.3150/21-BEJ1443OpenAlexW4293494105WikidataQ114038736 ScholiaQ114038736MaRDI QIDQ2676949
Xie Jiahui, Wen Jun, Zhou Wang, Yu Long
Publication date: 28 September 2022
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-4/Tracy-Widom-limit-for-the-largest-eigenvalue-of-high-dimensional/10.3150/21-BEJ1443.full
tail probabilityelliptical distributionsTracy-Widom distributionsample covariance matricesedge universality
Multivariate analysis (62Hxx) Probability theory on algebraic and topological structures (60Bxx) Special matrices (15Bxx)
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Cites Work
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