Approximation of Rectangular Beta-Laguerre Ensembles and Large Deviations

@article{Jiang2013ApproximationOR,
  title={Approximation of Rectangular Beta-Laguerre Ensembles and Large Deviations},
  author={T. Jiang and Danning Li},
  journal={Journal of Theoretical Probability},
  year={2013},
  volume={28},
  pages={804-847}
}
Let $$\lambda _1, \ldots , \lambda _n$$λ1,…,λn be random eigenvalues coming from the beta-Laguerre ensemble with parameter $$p$$p, which is a generalization of the real, complex and quaternion Wishart matrices of parameter $$(n,p).$$(n,p). In the case that the sample size $$n$$n is much smaller than the dimension of the population distribution $$p$$p, a common situation in modern data, we approximate the beta-Laguerre ensemble by a beta-Hermite ensemble, which is a generalization of the real… Expand
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