Poisson Statistics for the Largest Eigenvalues of Wigner Random Matrices with Heavy Tails

2004/05/31 by Alexander Soshnikov · 1 citation
Mathematics · Physics and Astronomy · #math.PR #math-ph #math.MP

paper · pdf

published as Elect. Commun. in Probab., 9 (2004), 82-91 · I have found a couple of small mistakes in the auxiliary Lemmas 1 and 2 and made the necessary corrections. These changes do not affect the results of the paper

arxiv created 2005/06/14 · arxiv updated 2009/12/01

Abstract

We study large Wigner random matrices in the case when the marginal distributions of matrix entries have heavy tails. We prove that the largest eigenvalues of such matrices have Poisson statistics.

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