The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble

Abstract

We solve the largest sample eigenvalue distribution problem in the rank 1 spiked model of the quaternionic Wishart ensemble, which is the first case of a statistical generalization of the Laguerre symplectic ensemble (LSE) on the soft edge. We observe a phase change phenomenon similar to that in the complex case, and prove that the new distribution at the phase change point is the GOE Tracy--Widom distribution.

Published in at http://dx.doi.org/10.1214/08-AOP432 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
• Airy process with wanderers, KPZ fluctuations, and a deformation of the Tracy--Widom GOE distribution
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• The rank 1 real Wishart spiked model I. Finite N analysis
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• Shifting Maximum Eigenvalue Detection in Low SNR Environment
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