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On the largest-eigenvalue process for generalized Wishart random matrices

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arxiv 0812.1504 v2 pith:OMZZGCVP submitted 2008-12-08 math.PR math-phmath.MP

A.B. Dieker , J. Warren This is my paper · ORCID
classification math.PRmath-phmath.MP
keywords processequalitygeneralizedwishartargumentborodinchange-of-measureconjectured
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Using a change-of-measure argument, we prove an equality in law between the process of largest eigenvalues in a generalized Wishart random-matrix process and a last-passage percolation process. This equality in law was conjectured by Borodin and Peche.

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  1. Eigenvector Overlaps of Random Covariance Matrices and their Submatrices

    math.PR 2025-01 conditional novelty 6.0 of 10

    For Gaussian random matrices, the squared overlaps between singular vectors of a submatrix and of the full matrix have explicit limiting Cauchy-like formulas in the Marchenko-Pastur regime.

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