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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.