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math.PR2011
Finite n Largest Eigenvalue Probability Distribution Function of Gaussian Ensembles
Leonard N. Choup
In this paper we focus on the finite n probability distribution function of the largest eigenvalue in the classical Gaussian Ensemble of n by n matrices (GEn). We derive the finite…
math.PR2008★ 6 cited
Edgeworth Expansion of the Largest Eigenvalue Distribution Function of GOE
Leonard N. Choup
In this paper we focus on the large n probability distribution function of the largest eigenvalue in the Gaussian Orthogonal Ensemble of n by n matrices (GOEn). We prove an Edgewor…
math.PR2006
Edgeworth Expansion of the Largest Eigenvalue Distribution Function of GUE and LUE
Leonard N. Choup
We derive expansions of the Hermite and Laguerre kernels at the edge of the spectrum of the finite n Gaussian Unitary Ensemble (GUEn) and the finite n Laguerre Unitary Ensem- ble (…