Large Deviations of the Maximum Eigenvalue in Wishart Random Matrices
Pierpaolo Vivo 1, Satya N. Majumdar 2, Oriol Bohigas 2 Journal of Physics A: Mathematical and General 40 (2007) 4317-4337 We compute analytically the probability of large fluctuations to the left of the mean of the largest eigenvalue in the Wishart (Laguerre) ensemble of positive definite random matrices. We show that the probability that all the eigenvalues of a (N x […]
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