most citedExtreme eigenvalues of sample covariance matrices under generalized elliptical models with applications

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math.PR2023

Tracy-Widom distribution for the edge eigenvalues of elliptical model

Xiucai Ding, Jiahui Xie

In this paper, we study the largest eigenvalues of sample covariance matrices with elliptically distributed data. We consider the sample covariance matrix where the data…