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July 2009 The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble
Dong Wang
Ann. Probab. 37(4): 1273-1328 (July 2009). DOI: 10.1214/08-AOP432

Abstract

We solve the largest sample eigenvalue distribution problem in the rank 1 spiked model of the quaternionic Wishart ensemble, which is the first case of a statistical generalization of the Laguerre symplectic ensemble (LSE) on the soft edge. We observe a phase change phenomenon similar to that in the complex case, and prove that the new distribution at the phase change point is the GOE Tracy–Widom distribution.

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Dong Wang. "The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble." Ann. Probab. 37 (4) 1273 - 1328, July 2009. https://doi.org/10.1214/08-AOP432

Information

Published: July 2009
First available in Project Euclid: 21 July 2009

zbMATH: 1176.15047
MathSciNet: MR2546746
Digital Object Identifier: 10.1214/08-AOP432

Subjects:
Primary: 15A52, 41A60
Secondary: 60F99

Rights: Copyright © 2009 Institute of Mathematical Statistics

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Vol.37 • No. 4 • July 2009
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