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Poisson convergence for the largest eigenvalues of heavy tailed random matrices

Antonio Auffinger, Gérard Ben Arous, Sandrine Péché (2009)

Annales de l'I.H.P. Probabilités et statistiques

We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in (Electron. Commun. Probab.9 (2004) 82–91), we prove that, in the absence of the fourth moment, the asymptotic behavior of the top eigenvalues is determined by the behavior of the largest entries of the matrix.

Polynomial Riccati equations with algebraic solutions

Henryk Żołądek (2002)

Banach Center Publications

We consider the equations of the form dy/dx = y²-P(x) where P are polynomials. We characterize the possible algebraic solutions and the class of equations having such solutions. We present formulas for first integrals of rational Riccati equations with an algebraic solution. We also present a relation between the problem of algebraic solutions and the theory of random matrices.

Polynomial sequences generated by infinite Hessenberg matrices

Luis Verde-Star (2017)

Special Matrices

We show that an infinite lower Hessenberg matrix generates polynomial sequences that correspond to the rows of infinite lower triangular invertible matrices. Orthogonal polynomial sequences are obtained when the Hessenberg matrix is tridiagonal. We study properties of the polynomial sequences and their corresponding matrices which are related to recurrence relations, companion matrices, matrix similarity, construction algorithms, and generating functions. When the Hessenberg matrix is also Toeplitz...

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