A universality result for the smallest eigenvalues of certain sample covariance matrices
Feldheim, Ohad N. ; Sodin, Sasha
arXiv, 0812.1961 / Harvested from arXiv
Text on arXiv
After proper rescaling and under some technical assumptions, the smallest eigenvalue of a sample covariance matrix with aspect ratio bounded away from 1 converges to the Tracy--Widom distribution. This complements the results on the largest eigenvalue, due to Soshnikov and Peche.
Publié le : 2008-12-10
Classification:  Mathematical Physics,  Mathematics - Probability 
@article{0812.1961,
     author = {Feldheim, Ohad N. and Sodin, Sasha},
     title = {A universality result for the smallest eigenvalues of certain sample
  covariance matrices},
     journal = {arXiv},
     volume = {2008},
     number = {0},
     year = {2008},
     language = {en},
     url = {http://dml.mathdoc.fr/item/0812.1961}
}

Feldheim, Ohad N.; Sodin, Sasha. A universality result for the smallest eigenvalues of certain sample
  covariance matrices. arXiv, Tome 2008 (2008) no. 0, . http://gdmltest.u-ga.fr/item/0812.1961/