Extremal laws for the real Ginibre ensemble
Mathematical Physics
2014-05-19 v2 math.MP
Probability
Abstract
The real Ginibre ensemble refers to the family of matrices in which each entry is an independent Gaussian random variable of mean zero and variance one. Our main result is that the appropriately scaled spectral radius converges in law to a Gumbel distribution as . This fact has been known to hold in the complex and quaternion analogues of the ensemble for some time, with simpler proofs. Along the way we establish a new form for the limit law of the largest real eigenvalue.
Keywords
Cite
@article{arxiv.1209.6085,
title = {Extremal laws for the real Ginibre ensemble},
author = {Brian Rider and Christopher D. Sinclair},
journal= {arXiv preprint arXiv:1209.6085},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/13-AAP958 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)