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

Autor:	Basrak, Bojan, Cho, Yeonok, Heiny, Johannes, Jung, Paul
Rok vydání:	2019
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	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 $0<\alpha<4$. 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. Comment: 37 pages, small errors fixed
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1910.08511 Zobrazit plný text záznamu View this record from Arxiv