Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions

Jun Wen, Jiahui Xie, Long Yu +1

Let $X$ be an $M\times N$ random matrix consisting of independent $M$-variate elliptically distributed column vectors ${\mathbf{x}}_1,\dots ,{\mathbf{x}}_N$ with general population…