[{"oa_version":"Preprint","publication":"Annals of Applied Probability","title":"Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population","publisher":"Institute of Mathematical Statistics","year":"2016","status":"public","date_updated":"2021-01-12T06:48:43Z","publication_status":"published","ec_funded":1,"author":[{"full_name":"Lee, Ji","last_name":"Lee","first_name":"Ji"},{"full_name":"Schnelli, Kevin","last_name":"Schnelli","first_name":"Kevin","id":"434AD0AE-F248-11E8-B48F-1D18A9856A87","orcid":"0000-0003-0954-3231"}],"scopus_import":1,"citation":{"ama":"Lee J, Schnelli K. Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population. *Annals of Applied Probability*. 2016;26(6):3786-3839. doi:10.1214/16-AAP1193","ieee":"J. Lee and K. Schnelli, “Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population,” *Annals of Applied Probability*, vol. 26, no. 6. Institute of Mathematical Statistics, pp. 3786–3839, 2016.","apa":"Lee, J., & Schnelli, K. (2016). Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population. *Annals of Applied Probability*. Institute of Mathematical Statistics. https://doi.org/10.1214/16-AAP1193","short":"J. Lee, K. Schnelli, Annals of Applied Probability 26 (2016) 3786–3839.","ista":"Lee J, Schnelli K. 2016. Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population. Annals of Applied Probability. 26(6), 3786–3839.","chicago":"Lee, Ji, and Kevin Schnelli. “Tracy-Widom Distribution for the Largest Eigenvalue of Real Sample Covariance Matrices with General Population.” *Annals of Applied Probability*. Institute of Mathematical Statistics, 2016. https://doi.org/10.1214/16-AAP1193.","mla":"Lee, Ji, and Kevin Schnelli. “Tracy-Widom Distribution for the Largest Eigenvalue of Real Sample Covariance Matrices with General Population.” *Annals of Applied Probability*, vol. 26, no. 6, Institute of Mathematical Statistics, 2016, pp. 3786–839, doi:10.1214/16-AAP1193."},"department":[{"_id":"LaEr"}],"abstract":[{"text":"We consider sample covariance matrices of the form Q = ( σ1/2X)(σ1/2X)∗, where the sample X is an M ×N random matrix whose entries are real independent random variables with variance 1/N and whereσ is an M × M positive-definite deterministic matrix. We analyze the asymptotic fluctuations of the largest rescaled eigenvalue of Q when both M and N tend to infinity with N/M →d ϵ (0,∞). For a large class of populations σ in the sub-critical regime, we show that the distribution of the largest rescaled eigenvalue of Q is given by the type-1 Tracy-Widom distribution under the additional assumptions that (1) either the entries of X are i.i.d. Gaussians or (2) that σ is diagonal and that the entries of X have a sub-exponential decay.","lang":"eng"}],"volume":26,"issue":"6","publist_id":"6201","date_published":"2016-12-15T00:00:00Z","type":"journal_article","language":[{"iso":"eng"}],"intvolume":" 26","doi":"10.1214/16-AAP1193","quality_controlled":"1","_id":"1157","project":[{"_id":"258DCDE6-B435-11E9-9278-68D0E5697425","call_identifier":"FP7","name":"Random matrices, universality and disordered quantum systems","grant_number":"338804"}],"acknowledgement":"We thank Horng-Tzer Yau for numerous discussions and remarks. We are grateful to Ben Adlam, Jinho Baik, Zhigang Bao, Paul Bourgade, László Erd ̋os, Iain Johnstone and Antti Knowles for comments. We are also grate-\r\nful to the anonymous referee for carefully reading our manuscript and suggesting several improvements.","day":"15","month":"12","oa":1,"main_file_link":[{"url":"https://arxiv.org/abs/1409.4979","open_access":"1"}],"user_id":"3E5EF7F0-F248-11E8-B48F-1D18A9856A87","page":"3786 - 3839","date_created":"2018-12-11T11:50:27Z"}]