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Speaker: Tiefeng Jiang, Department of Statistics, University of Minnesota
Place: ISyE, Executive Classroom 228, Main
Time: Thursday October 4, 11:00 am
Title: Approximation of Haar Distributed Matrices and Limiting Distributions of Eigenvalues of Jacobi Ensembles
Abstract: I will first present tools to approximate the entries of a large dimensional real and complex Jacobi ensembles with independent complex Gaussian random variables. Based on this, we obtain the Tracy-Widom law of the largest singular values of the Jacobi emsemble. Moreover, the circular law, the Marchenko-Pastur law, the central limit theorem, and the laws of large numbers for the spectral norms are also obtained.
Hosted by: Xiaoming Huo
