Large Deviations of the Maximum Eigenvalue for Wishart and Gaussian Random Matrices
Satya N. Majumdar 1, Massimo Vergassola 2 Physical Review Letters 102 (2009) 060601 We present a simple Coulomb gas method to calculate analytically the probability of rare events where the maximum eigenvalue of a random matrix is much larger than its typical value. The large deviation function that characterizes this probability is computed explicitly for Wishart and Gaussian ensembles. […]
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