LARGE DEVIATIONS FOR THE LARGEST EIGENVALUE OF SUB-GAUSSIAN MATRICES

Fanny Augeri (1, 2) , Alice Guionnet (3, 4) , Jonathan Husson (4)

1 IMT - Institut de Mathématiques de Toulouse UMR5219
2 Weizmann Institute of Science - Department of Mathematics
3 CNRS - Centre National de la Recherche Scientifique
4 UMPA-ENSL - Unité de Mathématiques Pures et Appliquées

We establish large deviations estimates for the largest eigenvalue of Wigner matrices with sub-Gaussian entries.

Domaines: Probabilités [math.PR]

Fanny Augeri, Alice Guionnet, Jonathan Husson. LARGE DEVIATIONS FOR THE LARGEST EIGENVALUE OF SUB-GAUSSIAN MATRICES. Communications in Mathematical Physics, 2021, 383 (2), pp.997--1050. ⟨hal-02376231⟩