Jaewhi Park

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math.PR2021

Tracy-Widom limit for free sum of random matrices

Hong Chang Ji, Jaewhi Park

We consider fluctuations of the largest eigenvalues of the random matrix model $A + U B U^{*}$ where $A$ and $B$ are $N \times N$ deterministic Hermitian (or symmetric) matrices and $U…

math.PR2019

Extremal eigenvalues of sample covariance matrices with general population

Jinwoong Kwak, Ji Oon Lee, Jaewhi Park

We consider the eigenvalues of sample covariance matrices of the form $Q = (Σ^{1/2} X) (Σ^{1/2} X)^{*}$ . The sample $X$ is an $M \times N$ rectangular random matrix with real ind…