The Tracy-Widom law for the Largest Eigenvalue of F Type Matrix
Statistics Theory
2015-06-02 v1 Statistics Theory
Abstract
Let and be two independent random matrices where and respectively consist of real (or complex) independent random variables with , . Denote by the largest root of the determinantal equation . We establish the Tracy-Widom type universality for under some moment conditions on and when and approach positive constants as .
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Cite
@article{arxiv.1506.00089,
title = {The Tracy-Widom law for the Largest Eigenvalue of F Type Matrix},
author = {X. Han and G. M. Pan and B. Zhang},
journal= {arXiv preprint arXiv:1506.00089},
year = {2015}
}
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