Tail sums of Wishart and GUE eigenvalues beyond the bulk edge
Statistics Theory
2017-07-26 v2 Probability
Statistics Theory
Abstract
Consider the classical Gaussian unitary ensemble of size and the real Wishart ensemble . In the limits as and , the expected number of eigenvalues that exit the upper bulk edge is less than one, 0.031 and 0.170 respectively, the latter number being independent of . These statements are consequences of quantitative bounds on tail sums of eigenvalues outside the bulk which are established here for applications in high dimensional covariance matrix estimation.
Keywords
Cite
@article{arxiv.1704.06398,
title = {Tail sums of Wishart and GUE eigenvalues beyond the bulk edge},
author = {Iain M. Johnstone},
journal= {arXiv preprint arXiv:1704.06398},
year = {2017}
}
Comments
11 pages