Painleve formulas of the limiting distributions for non-null complex sample covariance matrices

Jinho Baik

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Painleve formulas of the limiting distributions for non-null complex sample covariance matrices

Jinho Baik

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Abstract

In a recent study of large non-null sample covariance matrices, a new sequence of functions generalizing the GUE Tracy-Widom distribution of random matrix theory was obtained. This paper derives Painlevé formulas of these functions and use them to prove that they are indeed distribution functions. Applications of these new distribution functions to last passage percolation, queues in tandem and totally asymmetric simple exclusion process are also discussed. As a part of the proof, a representation of orthogonal polynomials on the unit circle in terms of an operator on a discrete set is presented.

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Jinho Baik. 2005-08-08. Painleve formulas of the limiting distributions for non-null complex sample covariance matrices. https://arxiv.org/abs/math/0504606

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