Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles

Details Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles

2006-09-26

arxiv.org/abs/math/0609738v1

Mathematics

Probability

16 pages

Scientific paper

We establish a large deviation principle for the largest eigenvalue of a rank one deformation of a matrix from the GUE or GOE. As a corollary, we get another proof of the phenomenon, well-known in learning theory and finance, that the largest eigenvalue separates from the bulk if the perturbation is large enough. A large part of the paper is devoted to an auxiliary result on the continuity of spherical integrals, in the case when one of the matrix is of rank one, as studied in a previous work.

Affiliated with

Also associated with

No associations

Rating

Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-167754