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math.PR2005
Tracy--Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
Noureddine El Karoui
We consider the asymptotic fluctuation behavior of the largest eigenvalue of certain sample covariance matrices in the asymptotic regime where both dimensions of the corresponding…
math.PR2004
A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
Noureddine El Karoui
It has been recently shown that if is an matrix whose entries are i.i.d. standard complex Gaussian and is the largest eigenvalue of , there exist sequen…