Extreme eigenvalue statistics of m-dependent heavy-tailed matrices

2019/10/18 by Basrak, Bojan, Cho, Yeonok, Heiny, Johannes +1
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1910.08511

Abstract

We analyze the largest eigenvalue statistics of m-dependent heavy-tailed Wigner matrices as well as the associated sample covariance matrices having entry-wise regularly varying tail distributions with parameter 0

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