Poisson convergence for the largest eigenvalues of Heavy Tailed Random Matrices
classification
🧮 math.PR
keywords
eigenvalueslargestentriesheavymatricestailedabsencebehave
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We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in \cite{Sos1}, we prove that, in the absence of the fourth moment, the top eigenvalues behave, in the limit, as the largest entries of the matrix.
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