Computing the Tracy-Widom Distribution for Arbitrary > 0

• Veröffentlicht in: Symmetry, Integrability and Geometry: Methods and Applications
• Datum: 2024
• Hauptverfasser: Trogdon, Thomas, Zhang, Yiting
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Інститут математики НАН України 2024
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/212118
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Zitieren: 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...