most citedQuantitative Universality for the Largest Eigenvalue of Sample Covariance Matrices

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math.PR2022

Optimal Smoothed Analysis and Quantitative Universality for the Smallest Singular Value of Random Matrices

Haoyu Wang

The smallest singular value and condition number play important roles in numerical linear algebra and the analysis of algorithms. In numerical analysis with randomness, many previo…

math.PR2019★ 6 cited

Quantitative Universality for the Largest Eigenvalue of Sample Covariance Matrices

Haoyu Wang

We prove the first explicit rate of convergence to the Tracy-Widom distribution for the fluctuation of the largest eigenvalue of sample covariance matrices that are not integrable.…