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Extreme eigenvalue statistics of $m$-dependent heavy-tailed matrices | | Bojan Basrak
; Yeonok Cho
; Johannes Heiny
; Paul Jung
; | | Date: |
18 Oct 2019 | | Abstract: | We analyze the largest eigenvalue statistics of $m$-dependent heavy-tailed
Wigner matrices as well as the associated sample covariance matrices having
entry-wise regularly varying tail distributions with parameter $0<alpha<4$.
Our analysis extends results in the previous literature for the corresponding
random matrices with independent entries above the diagonal, by allowing for
$m$-dependence between the entries of a given matrix. We prove that the
limiting point process of extreme eigenvalues is a Poisson cluster process. | | Source: | arXiv, 1910.8511 | | Services: | Forum | Review | PDF | Favorites | |
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