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Carlo Beenakker
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See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)\rightarrow\exp\left[-n^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)\rightarrow3^{-n^2/4}.$$

These are all large-$n$ results: the order $n^2$ exponents have finite-$n$ corrections of order $n$.

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)\rightarrow\exp\left[-n^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)\rightarrow3^{-n^2/4}.$$

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)\rightarrow\exp\left[-n^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)\rightarrow3^{-n^2/4}.$$

These are all large-$n$ results: the order $n^2$ exponents have finite-$n$ corrections of order $n$.

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Carlo Beenakker
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See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)=\exp\left[-N^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$$$\text{Prob}(E_{\rm smallest}\geq x)\rightarrow\exp\left[-n^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)=3^{-N^2/4}.$$$$\text{Prob}(E_{\rm smallest}\geq 0)\rightarrow3^{-n^2/4}.$$

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)=\exp\left[-N^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)=3^{-N^2/4}.$$

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)\rightarrow\exp\left[-n^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)\rightarrow3^{-n^2/4}.$$

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Carlo Beenakker
  • 188.1k
  • 18
  • 448
  • 651

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)=\exp\left[-N^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)=\exp\left(-\tfrac{1}{4}N^2\ln 3\right).$$$$\text{Prob}(E_{\rm smallest}\geq 0)=3^{-N^2/4}.$$

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)=\exp\left[-N^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)=\exp\left(-\tfrac{1}{4}N^2\ln 3\right).$$

See Extreme Value Statistics of Eigenvalues of Gaussian Random Matrices (2008), in particular the large-$n$ result:

$$\text{Prob}(E_{\rm smallest}\geq x)=\exp\left[-N^2\Phi\left(\frac{x+\sqrt{2n}}{\sqrt{n}}\right)\right],\;\;-\sqrt{2n}<x<0,$$ $$\Phi(z)=S(-\sqrt{2})-S(-\sqrt{2}-z),$$ $$S(z)= \frac{1}{216}\left[ 72 z^2 -2z^4 +(30 z + 2z^3) \sqrt{6 +z^2}+ 27\left( 3 + \ln 1296 - 4 \ln\left(-z + \sqrt{6 +z^2}\right)\right)\right].$$

The probability that all eigenvalues are positive follows from $x\rightarrow 0$,

$$\text{Prob}(E_{\rm smallest}\geq 0)=3^{-N^2/4}.$$

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Carlo Beenakker
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Carlo Beenakker
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  • 651
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Carlo Beenakker
  • 188.1k
  • 18
  • 448
  • 651
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