All Questions
4 questions
40
votes
1
answer
5k
views
When should we expect Tracy-Widom?
The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...
- 2,135
4
votes
1
answer
637
views
Characterizations of the GOE/GUE family of distributions
This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural ...
- 4,952
2
votes
1
answer
904
views
Diagonalizability of Gaussian random matrices
Let $X$ be an $n\times n$ matrix whose elements are i.i.d. sampled from a normal distribution of zero mean and unit variance. Is $X$ diagonalizable over $\mathbb{C}$ with probability 1? Is there a ...
- 123
1
vote
0
answers
83
views
Tracy Widom type results for asymptotic distribution of the $k$-th largest eigenvalue of the sample covariance when $n, p \to \infty$?
Earlier I asked a question: Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?, but I forgot to mention that I'd like results for asymtotic regime. So, I'm posting here ...
- 1,467