most citedPhase transition of the largest eigenvalue for non-null complex sample covariance matrices

7 citations · 7 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2004

The largest eigenvalue of small rank perturbations of Hermitian random matrices

Sandrine Péché

We compute the limiting eigenvalue statistics at the edge of the spectrum of large Hermitian random matrices perturbed by the addition of small rank deterministic matrices. To be m…

math.PR2004★ 7 cited

Phase transition of the largest eigenvalue for non-null complex sample covariance matrices

Jinho Baik, Gerard Ben Arous, Sandrine Peche

We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each s…