Abstract
We consider a Gaussian random matrix with correlated entries that have a power law decay of order $d>2$ and prove universality for the extreme eigenvalues. A local law is proved using the self-consistent equation combined with a decomposition of the matrix. This local law along with concentration of eigenvalues around the edge allows us to get a bound for extreme eigenvalues. Using a recent result of the Dyson-Brownian motion, we prove universality of extreme eigenvalues.
Citation
Arka Adhikari. Ziliang Che. "Edge universality of correlated Gaussians." Electron. J. Probab. 24 1 - 25, 2019. https://doi.org/10.1214/19-EJP273
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