Maximum eigenvalue of symmetric random matrices with dependent heavy tailed entries
classification
🧮 math.PR
keywords
randomentriesdependenteigenvalueheavymatricesmaximumsymmetric
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This paper deals with symmetric random matrices whose upper diagonal entries are obtained from a linear random field with heavy tailed noise. It is shown that the maximum eigenvalue and the spectral radius of such a random matrix with dependent entries converge to the Frech\'et distribution after appropriate scaling. This extends a seminal result of Soshnikov(2004) when the tail index is strictly less than one.
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