Largest eigenvalue of positive mean Gaussian matrices
Probability
2024-10-18 v2
Abstract
This short note studies the fluctuations of the largest eigenvalue of symmetric random matrices with correlated Gaussian entries having positive mean. Under the assumption that the covariance kernel is absolutely summable, it is proved that the largest eigenvalue, after centering, converges in distribution to normal with an explicitly defined mean and variance. This result generalizes known findings for Wigner matrices with independent entries.
Cite
@article{arxiv.2409.05858,
title = {Largest eigenvalue of positive mean Gaussian matrices},
author = {Arijit Chakrabarty and Rajat Subhra Hazra and Moumanti Podder},
journal= {arXiv preprint arXiv:2409.05858},
year = {2024}
}
Comments
11 pages