RANDOM COVARIANCE MATRICES: UNIVERSALITY OF LOCAL STATISTICS OF EIGENVALUES UP TO THE EDGE
RANDOM COVARIANCE MATRICES: UNIVERSALITY OF LOCAL STATISTICS OF EIGENVALUES UP TO THE EDGE
We study the universality of the eigenvalue statistics of the covariance matrices [Formula: see text] where M is a large p × n matrix with independent entries that have mean zero, variance one and sufficiently high finite moments. In particular, as an application, we prove a variant of universality results …