Tracy-Widom limit for the largest eigenvalue of a large class of complex Wishart matrices


The problem of understanding the limiting behavior of the largest eigenvalue of sample covariance matrices computed from data matrices for which both dimensions are large has recently attracted a lot of attention. In this paper we consider the following type of complex sample covariance matrices. Let X be an n×p matrix, and let its rows be i.i.d NC(0,Σp… (More)


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