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From Gumbel to Tracy-Widom  [PDF]
Kurt Johansson
Mathematics , 2005,
Abstract: The Tracy-Widom distribution that has been much studied in recent years can be thought of as an extreme value distribution. We discuss interpolation between the classical extreme value distribution $\exp(-\exp(-x))$, the Gumbel distribution and the Tracy-Widom distribution. There is a family of determinantal processes whose edge behaviour interpolates between a Poisson process with density $\exp(-x)$ and the Airy kernel point process. This process can be obtained as a scaling limit of a grand canonical version of a random matrix model introduced by Moshe, Neuberger and Shapiro. We also consider the deformed GUE ensemble, $M=M_0+\sqrt{2S} V$, with $M_0$ diagobal with independent elements and $V$ from GUE. Here we do not see a transition from Tracy-Widom to Gumbel, but rather a transition from Tracy-Widom to Gaussian.
Accuracy of the Tracy-Widom limit for the largest eigenvalue in white Wishart matrices  [PDF]
Zongming Ma
Mathematics , 2008,
Abstract: Let A be a p-variate real Wishart matrix on n degrees of freedom with identity covariance. The distribution of the largest eigenvalue in A has important applications in multivariate statistics. Consider the asymptotics when p grows in proportion to n, it is known from Johnstone (2001) that after centering and scaling, these distributions approach the orthogonal Tracy-Widom law for real-valued data, which can be numerically evaluated and tabulated in software. Under the same assumption, we show that more carefully chosen centering and scaling constants improve the accuracy of the distributional approximation by the Tracy-Widom limit to second order: O(min(n,p)^{-2/3}). Together with the numerical simulation, it implies that the Tracy-Widom law is an attractive approximation to the distributions of these largest eigenvalues, which is important for using the asymptotic result in practice. We also provide a parallel accuracy result for the smallest eigenvalue of A when n > p.
Discrete Tracy-Widom Operators  [PDF]
G. Blower,A. J. McCafferty
Mathematics , 2008,
Abstract: Integrable operators arise in random matrix theory, where they describe the asymptotic eigenvalue distribution of large self-adjoint random matrices from the generalized unitary ensembles. This paper considers discrete Tracy-Widom operators, and gives sufficient conditions for a discrete integrable operator to be the square of a Hankel matrix. Examples include the discrete Bessel kernel and kernels arising from the almost Mathieu equation and the Fourier transform of Mathieu's equation.
Deformations of the Tracy-Widom distribution  [PDF]
O. Bohigas,J. X. de Carvalho,M. P. Pato
Physics , 2008, DOI: 10.1103/PhysRevE.79.031117
Abstract: In random matrix theory (RMT), the Tracy-Widom (TW) distribution describes the behavior of the largest eigenvalue. We consider here two models in which TW undergoes transformations. In the first one disorder is introduced in the Gaussian ensembles by superimposing an external source of randomness. A competition between TW and a normal (Gaussian) distribution results, depending on the spreading of the disorder. The second model consists in removing at random a fraction of (correlated) eigenvalues of a random matrix. The usual formalism of Fredholm determinants extends naturally. A continuous transition from TW to the Weilbull distribution, characteristc of extreme values of an uncorrelated sequence, is obtained.
Searching for the Tracy-Widom distribution in nonequilibrium processes  [PDF]
Christian B. Mendl,Herbert Spohn
Physics , 2015,
Abstract: While originally discovered in the context of the Gaussian Unitary Ensemble, the Tracy-Widom distribution also rules the height fluctuations of growth processes. This suggests that there might be other nonequilibrium processes in which the Tracy-Widom distribution plays an important role. In our contribution we study one-dimensional systems with domain wall initial conditions. For an appropriate choice of parameters the profile develops a rarefaction wave, while maintaining the initial equilibrium states far to the left and right, which thus serve as infinitely extended thermal reservoirs. For two distinct model systems we will demonstrate that the properly projected time-integrated current has a deterministic contribution, linear in time $t$, and fluctuations of size $t^{1/3}$ with a Tracy-Widom distributed random amplitude.
Tracy-Widom at high temperature  [PDF]
Romain Allez,Laure Dumaz
Statistics , 2013, DOI: 10.1007/s10955-014-1058-z
Abstract: We investigate the marginal distribution of the bottom eigenvalues of the stochastic Airy operator when the inverse temperature $\beta$ tends to $0$. We prove that the minimal eigenvalue, whose fluctuations are governed by the Tracy-Widom $\beta$ law, converges weakly, when properly centered and scaled, to the Gumbel distribution. More generally we obtain the convergence in law of the marginal distribution of any eigenvalue with given index $k$. Those convergences are obtained after a careful analysis of the explosion times process of the Riccati diffusion associated to the stochastic Airy operator. We show that the empirical measure of the explosion times converges weakly to a Poisson point process using estimates proved in [L. Dumaz and B. Vir\'ag. Ann. Inst. H. Poincar\'e Probab. Statist. 49, 4, 915-933, (2013)]. We further compute the empirical eigenvalue density of the stochastic Airy ensemble on the macroscopic scale when $\beta\to 0$. As an application, we investigate the maximal eigenvalues statistics of $\beta_N$-ensembles when the repulsion parameter $\beta_N\to 0$ when $N\to +\infty$. We study the double scaling limit $N\to +\infty, \beta_N \to 0$ and argue with heuristic and numerical arguments that the statistics of the marginal distributions can be deduced following the ideas of [A. Edelman and B. D. Sutton. J. Stat. Phys. 127, 6, 1121-1165 (2007)] and [J. A. Ram\'irez, B. Rider and B. Vir\'ag. J. Amer. Math. Soc. 24, 919-944 (2011)] from our later study of the stochastic Airy operator.
Tracy-Widom asymptotics for q-TASEP  [PDF]
Patrik L. Ferrari,Balint Veto
Mathematics , 2013,
Abstract: We consider the q-TASEP that is a q-deformation of the totally asymmetric simple exclusion process (TASEP) on Z for q in [0,1) where the jump rates depend on the gap to the next particle. For step initial condition, we prove that the current fluctuation of q-TASEP at time t are of order t^{1/3} and asymptotically distributed as the GUE Tracy-Widom distribution, which confirms the KPZ scaling theory conjecture.
Painlevé representation of Tracy-Widom$_β$ distribution for $β = 6$  [PDF]
Igor Rumanov
Physics , 2014,
Abstract: In arXiv:1306.2117, we found explicit Lax pairs for the soft edge of beta ensembles with even integer values of $\beta$. Using this general result, the case $\beta=6$ is further considered here. This is the smallest even $\beta$, when the corresponding Lax pair and its relation to Painlev\'e II (PII) have not been known before, unlike cases $\beta=2$ and $4$. It turns out that again everything can be expressed in terms of the Hastings-McLeod solution of PII. In particular, a second order nonlinear ODE for the logarithmic derivative of Tracy-Widom distribution for $\beta=6$ involving the PII function in the coefficients, is found, which allows one to compute asymptotics for the distribution function. The ODE is a consequence of a linear system of three ODEs for which the local Painlev\'e analysis yields series solutions with exponents in the set $4/3$, $1/3$ and $-2/3$.
The right tail exponent of the Tracy-Widom-beta distribution  [PDF]
Laure Dumaz,Bálint Virág
Mathematics , 2011, DOI: 10.1214/11-AIHP475
Abstract: The Tracy-Widom beta distribution is the large dimensional limit of the top eigenvalue of beta random matrix ensembles. We use the stochastic Airy operator representation to show that as a tends to infinity the tail of the Tracy Widom distribution satisfies P(TW_beta > a) = a^(-3/4 beta+o(1)) exp(-2/3 beta a^(3/2)).
The Tracy--Widom law for some sparse random matrices  [PDF]
Sasha Sodin
Mathematics , 2009, DOI: 10.1007/s10955-009-9813-2
Abstract: Consider the random matrix obtained from the adjacency matrix of a random d-regular graph by multiplying every entry by a random sign. The largest eigenvalue converges, after proper scaling, to the Tracy--Widom distribution.
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