9 citations · 14 across the 4 of their papers we have counts for
5 papers · 1 filter
Statistics of Extreme Spacings in Determinantal Random Point Processes
Alexander Soshnikov
We study translation-invariant determinantal random point fields on the real line. We prove, under quite general conditions, that the smallest nearest spacings between the particle…
Poisson Statistics for the Largest Eigenvalues of Wigner Random Matrices with Heavy Tails
Alexander Soshnikov
We study large Wigner random matrices in the case when the marginal distributions of matrix entries have heavy tails. We prove that the largest eigenvalues of such matrices have Po…
A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
Alexander Soshnikov
Recently Johansson and Johnstone proved that the distribution of the (properly rescaled) largest principal component of the complex (real) Wishart matrix $ X^* \* X (X^t \*X) $ con…
Gaussian limit for determinantal random point fields
Alexander Soshnikov
We prove that under fairly general conditions properly rescaled determinantal random point field converges to a generalized Gaussian random process.
Central Limit Theorem for local linear statistics in classical compact groups and related combinatorial identities
Alexander Soshnikov
We discuss CLT for the global and local linear statistics of random matrices from classical compact groups. The main part of our proofs are certain combinatorial identities much in…