On the condition number of the critically-scaled Laguerre Unitary Ensemble

Percy Deift, Govind Menon, Thomas Trogdon

We consider the Laguerre Unitary Ensemble (aka, Wishart Ensemble) of sample covariance matrices $A=X{X}^{\ast }$, where $X$ is an $N\times n$ matrix with iid standard complex normal ent…