Universality results for the largest eigenvalue of sample covariance matrices
Speaker:
Sandrine Péché (University of Grenoble)
Date and Time:
Thursday, September 20, 2007 - 2:00pm to 2:50pm
Location:
The Fields Institute
Abstract:
We consider XX∗ , where X is a N × p random matrix with i.i.d. entries. We assume that these entries are centered, symmetrically distributed and have sub-Gaussian tails. Then we prove that the largest eigenvalues exhibit Tracy Widom fluctuations if p/N → γ ∈ [0, ∞], extending a previous universality result of A. Soshnikov.