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- W2996157023 abstract "We prove the first explicit rate of convergence to the Tracy-Widom distribution for the fluctuation of the largest eigenvalue of sample covariance matrices that are not integrable. Our primary focus is matrices of type $ X^*X $ and the proof follows the Erdos-Schlein-Yau dynamical method. We use a recent approach to the analysis of the Dyson Brownian motion from [5] to obtain a quantitative error estimate for the local relaxation flow at the edge. Together with a quantitative version of the Green function comparison theorem, this gives the rate of convergence. Combined with a result of Lee-Schnelli [26], some quantitative estimates also hold for more general separable sample covariance matrices $ X^* Sigma X $ with general diagonal population $ Sigma $." @default.
- W2996157023 created "2019-12-26" @default.
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- W2996157023 date "2019-12-11" @default.
- W2996157023 modified "2023-09-27" @default.
- W2996157023 title "Quantitative Universality for the Largest Eigenvalue of Sample Covariance Matrices" @default.
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