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

30 May 2015
X. Han
G. Pan
B. Zhang
ArXiv (abs)PDFHTML
Abstract

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

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