Naslov
Extreme eigenvalue statistics of m-dependent heavy- tailed matrices

Autori
Basrak, Bojan ; Cho, Yeonok ; Heiny, Johannes ; Jung, Paul

Izvornik
Annales de l institut henri poincare-probabilites et statistiques (0246-0203) 57 (2021), 4; 2100-2127

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Dependent random matrices , Heavy-tailed random matrices , Largest eigenvalue , marked Poisson process , Poisson cluster process , regular variation , Sample covariance matrix , Wigner matrix

Sažetak
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 α∈(0, 4). Our analysis extends results in the previous literature for the corresponding random matrices with independent entries above the diagonal, by allowing for m- dependence between the entries of a given matrix. We prove that the limiting point process of extreme eigenvalues is a Poisson cluster process.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

POVEZANOST RADA