Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles
Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles
We establish a large deviation principle for the largest eigenvalue of a rank one deformation of a matrix from the GUE or GOE. As a corollary, we get another proof of the phenomenon, well-known in learning theory and finance, that the largest eigenvalue separates from the bulk when the perturbation …