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The Tracy-Widom law for the Largest Eigenvalue of F Type Matrix

Abstract

Let Ap=YYm\mathbb{A}_p=\frac{\mathbb{Y}\mathbb{Y}^*}{m} and Bp=XXn\mathbb{B}_p=\frac{\mathbb{X}\mathbb{X}^*}{n} be two independent random matrices where X=(Xij)p×n\mathbb{X}=(X_{ij})_{p \times n} and Y=(Yij)p×m\mathbb{Y}=(Y_{ij})_{p \times m} respectively consist of real (or complex) independent random variables with EXij=EYij=0\mathbb{E}X_{ij}=\mathbb{E}Y_{ij}=0, EXij2=EYij2=1\mathbb{E}|X_{ij}|^2=\mathbb{E}|Y_{ij}|^2=1. Denote by λ1\lambda_{1} the largest root of the determinantal equation det(λApBp)=0\det(\lambda \mathbb{A}_p-\mathbb{B}_p)=0. We establish the Tracy-Widom type universality for λ1\lambda_{1} under some moment conditions on XijX_{ij} and YijY_{ij} when p/mp/m and p/np/n approach positive constants as pp\rightarrow\infty.

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