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math.PR2021
Convergence rate to the Tracy--Widom laws for the largest eigenvalue of sample covariance matrices
Kevin Schnelli, Yuanyuan Xu
We establish a quantitative version of the Tracy--Widom law for the largest eigenvalue of high dimensional sample covariance matrices. To be precise, we show that the fluctuations…
math.PR2021★ 9 cited
Convergence rate to the Tracy-Widom laws for the largest eigenvalue of Wigner matrices
Kevin Schnelli, Yuanyuan Xu
We show that the fluctuations of the largest eigenvalue of a real symmetric or complex Hermitian Wigner matrix of size converge to the Tracy--Widom laws at a rate $O(N^{-1/3+ω}…