The Tracy–Widom distribution is not infinitely divisible

Abstract

The classical infinite divisibility of distributions related to eigenvalues of some random matrix ensembles is investigated. It is proved that the β-Tracy–Widom distribution, which is the limiting distribution of the largest eigenvalue of a β-Hermite ensemble, is not infinitely divisible. Furthermore, for each fixed N≥2 it is proved that the largest eigenvalue of a GOE/GUE random matrix is not infinitely divisible.