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Poisson convergence for the largest eigenvalues of Heavy Tailed Random Matrices by Auffinger, Antonio; Arous, Gerard Ben; Peche, Sandrine is a scholarly article available to read on EtoBox.

What is Poisson convergence for the largest eigenvalues of Heavy Tailed Random Matrices about?

We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in \cite{Sos1}, we prove that, in the absence of the fourth moment, the top eigenvalues behave, in the limit, as the largest entries of the matrix.

Author

Auffinger, Antonio; Arous, Gerard Ben; Peche, Sandrine

Published

2007

Language

EN