Eigenvalues of Hermite and Laguerre ensembles : large beta asymptotics

Ioana Dumitriu; Alan Edelman

Annales de l'I.H.P. Probabilités et statistiques (2005)

  • Volume: 41, Issue: 6, page 1083-1099
  • ISSN: 0246-0203

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Dumitriu, Ioana, and Edelman, Alan. "Eigenvalues of Hermite and Laguerre ensembles : large beta asymptotics." Annales de l'I.H.P. Probabilités et statistiques 41.6 (2005): 1083-1099. <http://eudml.org/doc/77879>.

@article{Dumitriu2005,
author = {Dumitriu, Ioana, Edelman, Alan},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Eigenvalue fluctuation; Hermite ensemble; Laguerre ensmble; tridiagonal matrix models},
language = {eng},
number = {6},
pages = {1083-1099},
publisher = {Elsevier},
title = {Eigenvalues of Hermite and Laguerre ensembles : large beta asymptotics},
url = {http://eudml.org/doc/77879},
volume = {41},
year = {2005},
}

TY - JOUR
AU - Dumitriu, Ioana
AU - Edelman, Alan
TI - Eigenvalues of Hermite and Laguerre ensembles : large beta asymptotics
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2005
PB - Elsevier
VL - 41
IS - 6
SP - 1083
EP - 1099
LA - eng
KW - Eigenvalue fluctuation; Hermite ensemble; Laguerre ensmble; tridiagonal matrix models
UR - http://eudml.org/doc/77879
ER -

References

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  10. [10] M. Lal Mehta, Random Matrices, Academic Press, Boston, 1991. Zbl0780.60014MR1083764
  11. [11] G. Szegö, Orthogonal Polynomials, American Mathematical Society, Providence, RI, 1975. MR372517
  12. [12] J.W. Silverstein, Z.D. Bai, CLT of linear spectral statistics of large dimensional sample covariance matrices, Preprint, 2003, Ann. Probab., accepted for publication. Zbl1063.60022MR2040792
  13. [13] C.A. Tracy, H. Widom, On orthogonal and symplectic matrix ensembles, J. Statist. Phys.92 (1996) 809-835. Zbl0942.60099MR1385083
  14. [14] C.A. Tracy, H. Widom, The distribution of the largest eigenvalue in the Gaussian ensembles, in: Calogero–Moser–Sutherland Models, CRM Ser. in Math. Phys., vol. 4, Springer-Verlag, 2000, pp. 461-472. MR1844228

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