Computing the Tracy-Widom Distribution for Arbitrary > 0

• Опубліковано в: Symmetry, Integrability and Geometry: Methods and Applications
• Дата: 2024
• ISSN: 1815-0659
• Автори: Trogdon, Thomas, Zhang, Yiting
• Формат: Стаття
• Мова: Англійська
• Опубліковано: Інститут математики НАН України 2024
• Онлайн доступ: https://nasplib.isofts.kiev.ua/handle/123456789/212118
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Цитувати: Computing the Tracy-Widom Distribution for Arbitrary > 0. Thomas Trogdon and Yiting Zhang. SIGMA 20 (2024), 005, 26 pages

We compute the Tracy-Widom distribution describing the asymptotic distribution of the largest eigenvalue of a large random matrix by solving a boundary-value problem posed by Bloemendal in his Ph.D. Thesis (2011). The distribution is computed in two ways. The first method is a second-order finite-di...