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math.PR2012
Asymptotic Joint Distribution of Extreme Eigenvalues of the Sample Covariance Matrix in the Spiked Population Model
Dai Shi
In this paper, we consider a data matrix where all the columns are i.i.d. samples being dimensional complex Gaussian of mean zero and covariance $Σ…
math.PR2012★ 5 cited
Smallest Gaps Between Eigenvalues of Random Matrices With Complex Ginibre, Wishart and Universal Unitary Ensembles
Dai Shi, Yunjiang Jiang
In this paper we study the limiting distribution of the smallest gaps between eigenvalues of three kinds of random matrices -- the Ginibre ensemble, the Wishart ensemble and th…