We establish a quantitative version of the Tracy--Widom law for the largest eigenvalue of high dimensional sample covariance matrices. To be precise, we show that the fluctuations of the largest eigenvalue of a sample covariance matrix $X^*X$ converge to its Tracy--Widom limit at a rate nearly $N^{-1/3}$, where $X$ is an $M \times N$ random matrix whose entries are independent real or complex random variables, assuming that both $M$ and $N$ tend to infinity at a constant rate. This result improves the previous estimate $N^{-2/9}$ obtained by Wang [73]. Our proof relies on a Green function comparison method [27] using iterative cumulant expansions, the local laws for the Green function and asymptotic properties of the correlation kernel of the white Wishart ensemble.
In this paper, we study a high-dimensional random matrix model from nonparametric statistics called the Kendall rank correlation matrix, which is a natural multivariate extension of the Kendall rank correlation coefficient. We establish the Tracy-Widom law for its largest eigenvalue. It is the first Tracy-Widom law for a nonparametric random matrix model, and also the first Tracy-Widom law for a high-dimensional U-statistic.
We study the sample covariance matrix for real-valued data with general population covariance, as well as MANOVA-type covariance estimators in variance components models under null hypotheses of global sphericity. In the limit as matrix dimensions increase proportionally, the asymptotic spectra of such estimators may have multiple disjoint intervals of support, possibly intersecting the negative half line. We show that the distribution of the extremal eigenvalue at each regular edge of the support has a GOE Tracy-Widom limit. Our proof extends a comparison argument of Ji Oon Lee and Kevin Schn…
Detection of the number of signals corrupted by high-dimensional noise is a fundamental problem in signal processing and statistics. This paper focuses on a general setting where the high-dimensional noise has an unknown complicated heterogeneous variance structure. We propose a sequential test which utilizes the edge singular values (i.e., the largest few singular values) of the data matrix. It also naturally leads to a consistent sequential testing estimate of the number of signals. We describe the asymptotic distribution of the test statistic in terms of the Tracy-Widom distribution. The te…
We study the rate of convergence for the largest eigenvalue distributions in the Gaussian unitary and orthogonal ensembles to their Tracy-Widom limits. We show that one can achieve an $O(N^{-2/3})$ rate with particular choices of the centering and scaling constants. The arguments here also shed light on more complicated cases of Laguerre and Jacobi ensembles, in both unitary and orthogonal versions. Numerical work shows that the suggested constants yield reasonable approximations, even for surprisingly small values of N.
We give a stochastic comparison and ordering of the Tracy-Widom distribution with parameter $β$. In particular, we show that as $β$ grows, the Tracy-Widom random variables get smaller modulo a multiplicative coefficient.
We consider sample covariance matrices of the form $\mathcal{Q}=(Σ^{1/2}X)(Σ^{1/2} X)^*$, where the sample $X$ is an $M\times N$ random matrix whose entries are real independent random variables with variance $1/N$ and where $Σ$ is an $M\times M$ positive-definite deterministic matrix. We analyze the asymptotic fluctuations of the largest rescaled eigenvalue of $\mathcal{Q}$ when both $M$ and $N$ tend to infinity with $N/M\to d\in(0,\infty)$. For a large class of populations $Σ$ in the sub-critical regime, we show that the distribution of the largest rescaled eigenvalue of $\mathcal{Q}$ is giv…
Let $A$ and $B$ be independent, central Wishart matrices in $p$ variables with common covariance and having $m$ and $n$ degrees of freedom, respectively. The distribution of the largest eigenvalue of $(A+B)^{-1}B$ has numerous applications in multivariate statistics, but is difficult to calculate exactly. Suppose that $m$ and $n$ grow in proportion to $p$. We show that after centering and scaling, the distribution is approximated to second-order, $O(p^{-2/3})$, by the Tracy--Widom law. The results are obtained for both complex and then real-valued data by using methods of random matrix theory …
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)).
Let the sample correlation matrix be $W=YY^T$, where $Y=(y_{ij})_{p,n}$ with $y_{ij}=x_{ij}/\sqrt{\sum_{j=1}^nx_{ij}^2}$. We assume $\{x_{ij}: 1\leq i\leq p, 1\leq j\leq n\}$ to be a collection of independent symmetric distributed random variables with sub-exponential tails. Moreover, for any $i$, we assume $x_{ij}, 1\leq j\leq n$ to be identically distributed. We assume $0<p<n$ and $p/n\rightarrow y$ with some $y\in(0,1)$ as $p,n\rightarrow\infty$. In this paper, we provide the Tracy-Widom law ($TW_1$) for both the largest and smallest eigenvalues of $W$. If $x_{ij}$ are i.i.d. standard norma…
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 $N \ge 2$ it is proved that the largest eigenvalue of a GOE/GUE random matrix is not infinitely divisible.
The Tracy-Widom distribution functions involve integrals of a Painlevé II function starting from positive infinity. In this paper, we express the Tracy-Widom distribution functions in terms of integrals starting from minus infinity. There are two consequences of these new representations. The first is the evaluation of the total integral of the Hastings-McLeod solution of the Painlevé II equation. The second is the evaluation of the constant term of the asymptotic expansions of the Tracy-Widom distribution functions as the distribution parameter approaches minus infinity. For the GUE Tracy-Wid…
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 conside…
The free-energy fluctuations of the discrete directed polymer in 1+1 dimensions is conjecturally in the Tracy-Widom universality class at all finite temperatures and in the intermediate disorder regime. Seppäläinen's log-gamma polymer was proven to have GUE Tracy-Widom fluctuations in a restricted temperature range by Borodin et. al. (2013). We remove this restriction, and extend this result into the intermediate disorder regime. This result also identifies the scale of fluctuations of the log-gamma polymer in the intermediate disorder regime, and thus verifies a conjecture of Alberts et. al. …
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.
Investigating the long time asymptotics of the totally asymmetric simple exclusion process, Sasamoto obtains rather indirectly a formula for the GOE Tracy-Widom distribution. We establish that his novel formula indeed agrees with more standard expressions.
Consider two random vectors $\mathbf C_1^{1/2}\mathbf x \in \mathbb R^p$ and $\mathbf C_2^{1/2}\mathbf y\in \mathbb R^q$, where the entries of $\mathbf x$ and $\mathbf y$ are i.i.d. random variables with mean zero and variance one, and $\mathbf C_1$ and $\mathbf C_2$ are $p \times p$ and $q\times q$ deterministic population covariance matrices. With $n$ independent samples of $(\mathbf C_1^{1/2}\mathbf x,\mathbf C_2^{1/2}\mathbf y)$, we study the sample correlation between these two vectors using canonical correlation analysis. We denote by $S_{xx}$ and $S_{yy}$ the sample covariance matrices …
We consider spectral properties of sparse sample covariance matrices, which includes biadjacency matrices of the bipartite Erdős-Rényi graph model. We prove a local law for the eigenvalue density up to the upper spectral edge. Under a suitable condition on the sparsity, we also prove that the limiting distribution of the rescaled, shifted extremal eigenvalues is given by the GOE Tracy-Widom law with an explicit formula on the deterministic shift of the spectral edge. For the biadjacency matrix of an Erdős-Rényi graph with two vertex sets of comparable sizes $M$ and $N$, this establishes Tracy-…
We consider TASEP in continuous time with non-random initial conditions and arbitrary fixed density of particles rho. We show GOE Tracy-Widom universality of the one-point fluctuations of the associated height function. The result phrased in last passage percolation language is the universality for the point-to-line problem where the line has an arbitrary slope.
We consider spectral properties and the edge universality of sparse random matrices, the class of random matrices that includes the adjacency matrices of the Erdos-Renyi graph model $G(N,p)$. We prove a local law for the eigenvalue density up to the spectral edges. Under a suitable condition on the sparsity, we also prove that the rescaled extremal eigenvalues exhibit GOE Tracy-Widom fluctuations if a deterministic shift of the spectral edge due to the sparsity is included. For the adjacency matrix of the Erdos-Renyi graph this establishes the Tracy-Widom fluctuations of the second largest eig…
We consider the asymptotic fluctuation behavior of the largest eigenvalue of certain sample covariance matrices in the asymptotic regime where both dimensions of the corresponding data matrix go to infinity. More precisely, let $X$ be an $n\times p$ matrix, and let its rows be i.i.d. complex normal vectors with mean 0 and covariance $Σ_p$. We show that for a large class of covariance matrices $Σ_p$, the largest eigenvalue of $X^*X$ is asymptotically distributed (after recentering and rescaling) as the Tracy--Widom distribution that appears in the study of the Gaussian unitary ensemble. We give…
We compute exactly the asymptotic distribution of scaled height in a (1+1)--dimensional anisotropic ballistic deposition model by mapping it to the Ulam problem of finding the longest nondecreasing subsequence in a random sequence of integers. Using the known results for the Ulam problem, we show that the scaled height in our model has the Tracy-Widom distribution appearing in the theory of random matrices near the edges of the spectrum. Our result supports the hypothesis that various growth models in $(1+1)$ dimensions that belong to the Kardar-Parisi-Zhang universality class perhaps all shar…
We consider the q-Hahn TASEP which is a three-parameter family of discrete time interacting particle systems. The particles jump to the right independently according to a certain q-Binomial distribution with parallel updates. It is a generalization of the discrete time q-TASEP which is the q-deformed totally asymmetric simple exclusion process (TASEP) on Z for q in [0,1). For step initial condition, we prove that the current fluctuation of q-Hahn TASEP at time t is of order $t^{1/3}$ and asymptotically distributed as the GUE Tracy-Widom distribution. We verify the KPZ scaling theory conjecture…
We analyze the left-tail asymptotics of deformed Tracy-Widom distribution functions describing the fluctuations of the largest eigenvalue in invariant random matrix ensembles after removing each soft edge eigenvalue independently with probability $1-γ\in[0,1]$. As $γ$ varies, a transition from Tracy-Widom statistics ($γ=1$) to classical Weibull statistics ($γ=0$) was observed in the physics literature by Bohigas, de Carvalho, and Pato \cite{BohigasCP:2009}. We provide a description of this transition by rigorously computing the leading-order left-tail asymptotics of the thinned GOE, GUE and GS…
We consider the spectral properties of sparse stochastic block models, where $N$ vertices are partitioned into $K$ balanced communities. Under an assumption that the intra-community probability and inter-community probability are of similar order, we prove a local semicircle law up to the spectral edges, with an explicit formula on the deterministic shift of the spectral edge. We also prove that the fluctuation of the extremal eigenvalues is given by the GOE Tracy--Widom law after rescaling and centering the entries of sparse stochastic block models. Applying the result to sparse stochastic bl…
We consider a directed graph on the 2-dimensional integer lattice, placing a directed edge from vertex $(i_1,i_2)$ to $(j_1,j_2)$, whenever $i_1 \le j_1$, $i_2 \le j_2$, with probability $p$, independently for each such pair of vertices. Let $L_{n,m}$ denote the maximum length of all paths contained in an $n \times m$ rectangle. We show that there is a positive exponent $a$, such that, if $m/n^a \to 1$, as $n \to \infty$, then a properly centered/rescaled version of $L_{n,m}$ converges weakly to the Tracy-Widom distribution. A generalization to graphs with non-constant probabilities is also di…
We consider the statistics of the extreme eigenvalues of sparse random matrices, a class of random matrices that includes the normalized adjacency matrices of the Erdős-Rényi graph $G(N,p)$. Tracy-Widom fluctuations of the extreme eigenvalues for $p\gg N^{-2/3}$ was proved in [17,46]. We prove that there is a crossover in the behavior of the extreme eigenvalues at $p\sim N^{-2/3}$. In the case that $N^{-7/9}\ll p\ll N^{-2/3}$, we prove that the extreme eigenvalues have asymptotically Gaussian fluctuations. Under a mean zero condition and when $p=CN^{-2/3}$, we find that the fluctuations of the…
We study an oriented first passage percolation model for the evolution of a river delta. This model is exactly solvable and occurs as the low temperature limit of the beta random walk in random environment. We analyze the asymptotics of an exact formula from [4] to show that, at any fixed positive time, the width of a river delta of length $L$ approaches a constant times $L^{2/3}$ with Tracy-Widom GUE fluctuations of order $L^{4/9}$. This result can be rephrased in terms of particle systems. We introduce an exactly solvable particle system on the integer half line and show that after running t…
We show that the fluctuations of the largest eigenvalue of any generalized Wigner matrix $H$ converge to the Tracy-Widom laws at a rate nearly $O(N^{-1/3})$, as the matrix dimension $N$ tends to infinity. We allow the variances of the entries of $H$ to have distinct values but of comparable sizes such that $\sum_{i} \mathbb{E}|h_{ij}|^2=1$. Our result improves the previous rate $O(N^{-2/9})$ by Bourgade [8] and the proof relies on the first long-time Green function comparison theorem near the edges without the second moment matching restriction.
We consider fluctuations of the largest eigenvalues of the random matrix model $A+UBU^{*}$ where $A$ and $B$ are $N \times N$ deterministic Hermitian (or symmetric) matrices and $U$ is a Haar-distributed unitary (or orthogonal) matrix. We prove that the largest eigenvalue weakly converges to the Tracy-Widom distribution, under mild assumptions on $A$ and $B$ to guarantee that the density of states of the model decays as square root around the upper edge. Our proof is based on the comparison of the Green function along the Dyson Brownian motion starting from the matrix $A + UBU^{*}$ and ending …
This is a survey of Harold Widom's work in random matrices. We start with his pioneering papers on the sine-kernel determinant, continue with his and Craig Tracy's groundbreaking results concerning the distribution functions of random matrix theory, touch on the remarkable universality of the Tracy-Widom distributions in mathematics and physics, and close with Tracy and Widom's remarkable work on the asymmetric simple exclusion process.
We construct a random Schrodinger operator on a subset of the hexagonal lattice and study its smallest positive eigenvalues. Using an asymptotic mapping, we relate them to the partition function of the directed polymer model on the square lattice. For a specific choice of the edge weight distribution, we obtain a model known as the log-Gamma polymer, which is integrable. Recent results about the fluctuations of free energy for the log-Gamma polymer allow us to prove Tracy-Widom type fluctuations for the smallest eigenvalue of the random Schrodinger operator. We also relate the distribution of …
This paper extends the work of El Karoui [Ann. Probab. 35 (2007) 663--714] which finds the Tracy--Widom limit for the largest eigenvalue of a nonsingular $p$-dimensional complex Wishart matrix $W_{\mathbb{C}}(Ω_p,n)$ to the case of several of the largest eigenvalues of the possibly singular $(n<p)$ matrix $W_{\mathbb{C}}(Ω_p,n).$ As a byproduct, we extend all results of Baik, Ben Arous and Peche [Ann. Probab. 33 (2005) 1643--1697] to the singular Wishart matrix case. We apply our findings to obtain a 95% confidence set for the number of common risk factors in excess stock returns.
We study the Tracy-Widom distribution function for Dyson's $β$-ensemble with $β= 6$. The starting point of our analysis is the recent work of I. Rumanov where he produces a Lax-pair representation for the Bloemendal-Virág equation. The latter is a linear PDE which describes the Tracy-Widom functions corresponding to general values of $β$. Using his Lax pair, Rumanov derives an explicit formula for the Tracy-Widom $β=6$ function in terms of the second Painlevé transcendent and the solution of an auxiliary ODE. Rumanov also shows that this formula allows him to derive formally the asymptotic exp…
We show that the fluctuations of the largest eigenvalue of a real symmetric or complex Hermitian Wigner matrix of size $N$ converge to the Tracy--Widom laws at a rate $O(N^{-1/3+ω})$, as $N$ tends to infinity. For Wigner matrices this improves the previous rate $O(N^{-2/9+ω})$ obtained by Bourgade [5] for generalized Wigner matrices. Our result follows from a Green function comparison theorem, originally introduced by Erdős, Yau and Yin [19] to prove edge universality, on a finer spectral parameter scale with improved error estimates. The proof relies on the continuous Green function flow indu…
In arXiv:1306.2117, we found explicit Lax pairs for the soft edge of beta ensembles with even integer values of $β$. Using this general result, the case $β=6$ is further considered here. This is the smallest even $β$, when the corresponding Lax pair and its relation to Painlevé II (PII) have not been known before, unlike cases $β=2$ 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 $β=6$ involving the PII function in the coeffici…
The Jánossy density for a determinantal point process is the probability density that an interval $I$ contains exactly $p$ points except for those at $k$ designated loci. The Jánossy density associated with an integrable kernel $\mathbf{K}\doteq (φ(x)ψ(y)-ψ(x)φ(y))/(x-y)$ is shown to be expressed as a Fredholm determinant $\mathrm{Det}(\mathbb{I}-\tilde{\mathbf{K}}|_I)$ of a transformed kernel $\tilde{\mathbf{K}}\doteq (\tildeφ(x)\tildeψ(y)-\tildeψ(x)\tildeφ(y))/(x-y)$. We observe that $\tilde{\mathbf{K}}$ satisfies Tracy and Widom's criteria if $\mathbf{K}$ does, because of the structure that…
We prove that the Beta random walk has second order cubic fluctuations from the large deviation principle of the GUE Tracy-Widom type for arbitrary values $\upalpha>0$ and $\upbeta>0$ of the parameters of the Beta distribution, removing previous restrictions on their values. Furthermore, we prove that the GUE Tracy-Widom fluctuations still hold in the intermediate disorder regime. We also show that any random walk in space-time random environment that matches certain moments with the Beta random walk also has GUE Tracy-Widom fluctuations in the intermediate disorder regime. As a corollary we s…
We investigate the marginal distribution of the bottom eigenvalues of the stochastic Airy operator when the inverse temperature $β$ tends to $0$. We prove that the minimal eigenvalue, whose fluctuations are governed by the Tracy-Widom $β$ 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. W…
We show that the supremum of the average of the Airy process and its time reversal minus a parabola is distributed as the maximum of two independent GUE Tracy-Widom random variables. The proof is obtained by considering a directed last passage percolation model with a rotational symmetry in two different ways. We also review other known identities between the Airy process and the Tracy-Widom distributions.
Let $\widetilde{X}_{M\times N}$ be a rectangular data matrix with independent real-valued entries $[\widetilde{x}_{ij}]$ satisfying $\mathbb {E}\widetilde{x}_{ij}=0$ and $\mathbb {E}\widetilde{x}^2_{ij}=\frac{1}{M}$, $N,M\to\infty$. These entries have a subexponential decay at the tails. We will be working in the regime $N/M=d_N,\lim_{N\to\infty}d_N\neq0,1,\infty$. In this paper we prove the edge universality of correlation matrices ${X}^{\dagger}X$, where the rectangular matrix $X$ (called the standardized matrix) is obtained by normalizing each column of the data matrix $\widetilde{X}$ by it…
We study discrete $β$-ensembles as introduced in [17]. We obtain rigidity estimates on the particle locations, i.e. with high probability, the particles are close to their classical locations with an optimal error estimate. We prove the edge universality of the discrete $β$-ensembles, i.e. for $β\geq 1$, the distribution of extreme particles converges to the Tracy-Widom $β$ distribution. As far as we know, this is the first proof of general Tracy-Widom $β$ distributions in the discrete setting. A special case of our main results implies that under the Jack deformation of the Plancherel measure…
In this paper we compute some of the higher order terms in the large-t asymptotic expansion of the Airy process two-point function, extending the previous work of Adler and van Moerbeke and Widom. We prove that it is possible to represent any order asymptotic approximation as a polynomial and integrals of the Hastings-McLeod Painlevé II function and its first derivative. Further, for up to tenth order we give this asymptotic approximation as a linear combination of the Tracy-Widom GUE density function f_2 and its derivatives. As a corollary to this, the asymptotic covariance is expressed up to…
We derive Painlevé--type expressions for the distribution of the $m^{th}$ largest eigenvalue in the Gaussian Orthogonal and Symplectic Ensembles in the edge scaling limit. This work generalizes to general $m$ the $m=1$ results of Tracy and Widom [23]. The results of Johnstone and Soshnikov (see [15], [19]) imply the immediate relevance of our formulas for the $m^{th}$ largest eigenvalue of the appropriate Wishart distribution.
We study large random partitions boxed into a rectangle and coming from skew Howe duality, or alternatively from dual Schur measures. As the sides of the rectangle go to infinity, we obtain: 1) limit shape results for the profiles generalizing the Vershik--Kerov--Logan--Shepp curve; and 2) universal edge asymptotic results for the first parts in the form of the Tracy--Widom distribution, as well as less-universal critical regime results introduced by Gravner, Tracy and Widom. We do this for a large class of Schur parameters going beyond the Plancherel or principal specializations previously st…
This paper studies the mixing behavior of the Asymmetric Simple Exclusion Process (ASEP) on a segment of length $N$. Our main result is that for particle densities in $(0,1),$ the total-variation cutoff window of ASEP is $N^{1/3}$ and the cutoff profile is $1-F_{\mathrm{GUE}},$ where $F_{\mathrm{GUE}}$ is the Tracy-Widom distribution function. This also gives a new proof of the cutoff itself, shown earlier by Labbé and Lacoin. Our proof combines coupling arguments, the result of Tracy-Widom about fluctuations of ASEP started from the step initial condition, and exact algebraic identities comin…
In this paper, we prove a necessary and sufficient condition for Tracy-Widom law of Wigner matrices. Consider $N \times N$ symmetric Wigner matrices $H$ with $H_{ij} = N^{-1/2} x_{ij}$, whose upper right entries $x_{ij}$ $(1\le i< j\le N)$ are $i.i.d.$ random variables with distribution $μ$ and diagonal entries $x_{ii}$ $(1\le i\le N)$ are $i.i.d.$ random variables with distribution $\wt μ$. The means of $μ$ and $\wt μ$ are zero, the variance of $μ$ is 1, and the variance of $\wt μ$ is finite. We prove that Tracy-Widom law holds if and only if $\lim_{s\to \infty}s^4\p(|x_{12}| \ge s)=0$. The s…
We determine the limiting distribution of the largest eigenvalue of products from the $β$-Laguerre ensemble. This limiting distribution is given by a Tracy-Widom law with parameter $β_0>0$ depending on the ratio of the parameters of the two matrices involved.
In a recent study of large non-null sample covariance matrices, a new sequence of functions generalizing the GUE Tracy-Widom distribution of random matrix theory was obtained. This paper derives Painlevé formulas of these functions and use them to prove that they are indeed distribution functions. Applications of these new distribution functions to last passage percolation, queues in tandem and totally asymmetric simple exclusion process are also discussed. As a part of the proof, a representation of orthogonal polynomials on the unit circle in terms of an operator on a discrete set is present…
For a wide class of Hermitian random matrices, the limit distribution of the eigenvalues close to the largest one is governed by the Airy point process. In such ensembles, the limit distribution of the k-th largest eigenvalue is given in terms of the Airy kernel Fredholm determinant or in terms of Tracy-Widom formulas involving solutions of the Painlevé II equation. Limit distributions for quantities involving two or more near-extreme eigenvalues, such as the gap between the k-th and the \ell-th largest eigenvalue or the sum of the k largest eigenvalues, can be expressed in terms of Fredholm d…
We prove that the largest eigenvalues of the beta ensembles of random matrix theory converge in distribution to the low-lying eigenvalues of the random Schroedinger operator -d^2/dx^2 + x + (2/beta^{1/2}) b_x' restricted to the positive half-line, where b_x' is white noise. In doing so we extend the definition of the Tracy-Widom(beta) distributions to all beta>0, and also analyze their tails. Last, in a parallel development, we provide a second characterization of these laws in terms of a one-dimensional diffusion. The proofs rely on the associated tridiagonal matrix models and a universality …
