Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

Electronic Journal of Probability

Volumn 17, Issue , 2012, Pages

  Bao, Zhigang ^a   Pan, Guangming ^b   Zhou, Wang ^c  

^a ZHEJIANG UNIVERSITY   (China)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Extreme eigenvalues; Sample correlation matrices; Sample covariance matrices; Stieltjes transform; Tracy Widom law

Indexed keywords

EID: 84867537555     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v17-1962     Document Type: Article

References (20)

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