Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensemble

Abstract

The paper studies the spectral properties of large Wigner, band and sample covariance random matrices with heavy tails of the marginal distributions of matrix entries.

This is an extended version of my talk at the QMath 9 conference at Giens, France on September 13-17, 2004

References in corpus (2)

• Random Matrices close to Hermitian or unitary: overview of methods and results
• On the supersymmetric partition function in QCD-inspired random matrix models

Cited by in corpus (6)

• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
• The asymptotic distribution of the condition number for random circulant matrices
• The Ergodicity Landscape of Quantum Theories
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations