Approximation of rectangular beta-Laguerre ensembles and large deviations

DOI10.1007/s10959-013-0519-7zbMath1333.15032arXiv1309.3882OpenAlexW2004082955MaRDI QIDQ895890

Danning Li, Tiefeng Jiang

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.3882

zbMATH Keywords

condition numberlarge deviationlargest eigenvaluesmallest eigenvalueTracy-Widom distributionLaguerre ensembleempirical distribution of eigenvaluesvariation normWigner ensemblebeta-Hermite ensemblequaternion Wishart matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Large deviations (60F10) Random matrices (algebraic aspects) (15B52)

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Uses Software

• Rmtstat

Cites Work

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