A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
It has been recently shown that if X is an n×N matrix whose entries are i.i.d. standard complex Gaussian and l1 is the largest eigenvalue of X*X, there exist sequences mn,N and sn,N such that (l1−mn,N)/sn,N converges in distribution to W2, the Tracy–Widom law appearing in the study of the …