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math.PR2004
The largest eigenvalue of small rank perturbations of Hermitian random matrices
Sandrine Péché
We compute the limiting eigenvalue statistics at the edge of the spectrum of large Hermitian random matrices perturbed by the addition of small rank deterministic matrices. To be m…
math.PR2004★ 7 cited
Phase transition of the largest eigenvalue for non-null complex sample covariance matrices
Jinho Baik, Gerard Ben Arous, Sandrine Peche
We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each s…