Poisson convergence for the largest eigenvalues of heavy tailed random matrices

DOI10.1214/08-AIHP188zbMath1177.15037arXiv0710.3132MaRDI QIDQ731725

Sandrine Péché, Antonio Auffinger, Gérard Ben Arous

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.3132

zbMATH Keywords

extreme valuesrandom matricesheavy tailslargest eigenvaluesrandom covariance matricesrandom symmetric matriceslargest value statistics

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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