The Tracy-Widom limit for the largest eigenvalues of singular complex wishart matrices

Annals of Applied Probability

Volumn 18, Issue 2, 2008, Pages 470-490

  Onatski, Alexei ^a  

^a Howard Hughes Medical Institute   (United States)

Author keywords

Approximate factor model; Arbitrage pricing theory; Largest eigenvalues; Number of factors; Random matrix theory; Singular wishart matrix; Tracy widom distribution

Indexed keywords

EID: 52949130662     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/07-AAP454     Document Type: Article

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