Abstract
We study the rate of convergence for the largest eigenvalue distributions in the Gaussian unitary and orthogonal ensembles to their Tracy–Widom limits.
We show that one can achieve an
Numerical work shows that the suggested constants yield reasonable approximations, even for surprisingly small values of
Citation
Iain M. Johnstone. Zongming Ma. "Fast approach to the Tracy–Widom law at the edge of GOE and GUE." Ann. Appl. Probab. 22 (5) 1962 - 1988, October 2012. https://doi.org/10.1214/11-AAP819
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