On the maximal domain of attraction of Tracy–Widom distribution for Gaussian unitary ensembles

Abstract

The asymptotic distribution of the largest eigenvalue of various classes of random matrices has been shown to have the Tracy–Widom distribution. In this article, we prove that the standardised maximum of an independent and identically distributed sequence of random variables having the Tracy–Widom distribution arising from the Gaussian unitary ensemble belongs to the Gumbel domain of attraction.