A universality result for the smallest eigenvalues of certain sample covariance matrices
arXiv:0812.1961
Abstract
After proper rescaling and under some technical assumptions, the smallest eigenvalue of a sample covariance matrix with aspect ratio bounded away from 1 converges to the Tracy--Widom distribution. This complements the results on the largest eigenvalue, due to Soshnikov and Peche.
53 pages, 7 figures. To appear in Geom. Funct. Anal
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