A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is `application/pdf`

.

##
###
Accuracy of the Tracy–Widom limits for the extreme eigenvalues in white Wishart matrices

2012
*
Bernoulli
*

The distributions of the largest and the smallest eigenvalues of a $p$-variate sample covariance matrix $S$ are of great importance in statistics. Focusing on the null case where $nS$ follows the standard Wishart distribution $W_p(I,n)$, we study the accuracy of their scaling limits under the setting: $n/p\rightarrow \gamma\in(0,\infty)$ as $n\rightarrow \infty$. The limits here are the orthogonal Tracy--Widom law and its reflection about the origin. With carefully chosen rescaling constants,

doi:10.3150/10-bej334
fatcat:igev3lqvyvgspp2oy7qkfayfnq