Random covariance matrices: universality of local statistics of eigenvalues

DOI10.1214/11-AOP648zbMath1247.15036arXiv0912.0966OpenAlexW3100430377MaRDI QIDQ428150

Van H. Vu, Terence C. Tao

Publication date: 19 June 2012

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

Full work available at URL: https://arxiv.org/abs/0912.0966

zbMATH Keywords

universalitylarge random matricesWigner matricescovariance matricesasymptotic local eigenvalue statisticsfour moment theoremrandom Hermitian matrix

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

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