Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE

Abstract

The neighbourhood of the largest eigenvalue λmax in the Gaussian unitary ensemble (GUE) and Laguerre unitary ensemble (LUE) is referred to as the soft edge. It is known that there exists a particular centring and scaling such that the distribution of λmax tends to a universal form, with an error term bounded by 1/N2/3. We take up the problem of computing the exact functional form of the leading error term in a large N asymptotic expansion for both the GUE and LUE—two versions of the LUE are considered, one with the parameter a fixed and the other with a proportional to N. Both settings in the LUE case allow for an interpretation in terms of the distribution of a particular weighted path length in a model involving exponential variables on a rectangular grid, as the grid size gets large. We give operator theoretic forms of the corrections, which are corollaries of knowledge of the first two terms in the large N expansion of the scaled kernel and are readily computed using a method due to Bornemann. We also give expressions in terms of the solutions of particular systems of coupled differential equations, which provide an alternative method of computation. Both characterisations are well suited to a thinned generalisation of the original ensemble, whereby each eigenvalue is deleted independently with probability (1 − ξ). In Sec. V, we investigate using simulation the question of whether upon an appropriate centring and scaling a wider class of complex Hermitian random matrix ensembles have their leading correction to the distribution of λmax proportional to 1/N2/3.