Beyond universality in random matrix theory

Citation
Edelman, Alan et al., Beyond universality in random matrix theory, Annals of applied probability , 26(3), 2016, pp. 1659-1697
ISSN journal
10505164
Volume
26
Issue
3
Year of publication
2016
Pages
1659 - 1697
Database
ACNP
SICI code
Abstract
In order to have a better understanding of finite random matrices with non-Gaussian entries, we study the 1/N expansion of local eigenvalue statistics in both the bulk and at the hard edge of the spectrum of random matrices. This gives valuable information about the smallest singular value not seen in universality laws. In particular, we show the dependence on the fourth moment (or the kurtosis) of the entries. This work makes use of the so-called complex Gaussian divisible ensembles for both Wigner and sample covariance matrices.