Note on the representation of the gap formation probability for real and quaternion Wishart matrices

arXiv1607.04744MaRDI QIDQ6275622

P. Miranda

Publication date: 16 July 2016

Abstract: Wishart random matrices are often used to model multivariate systems in physics, finance, biology and wireless communication. Extreme value statistics, such as those of the smallest eigenvalue, can be used to test the accuracy of the model. In this article we study the gap formation probability (cumulative distribution function of the smallest eigenvalue) for real and quaternion $Nimesleft(N+uight)$ Wishart random matrices in the large $N$ limit. We derive compact expression in terms of determinants of known functions. As a consequence of this representation, the gap formation probabilities solve the Toda lattice equation, in the index $u$ for $u$ even and for $u$ odd separately.

This page was built for publication: Note on the representation of the gap formation probability for real and quaternion Wishart matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6275622)