On étudie la loi des plus grandes valeurs propres de matrices aléatoires symétriques réelles et de covariance empirique quand les coefficients des matrices sont à queue lourde. On étend le résultat obtenu par Soshnikov dans (Electron. Commun. Probab. 9 (2004) 82-91) et on montre que le comportement asymptotique des plus grandes valeurs propres est déterminé par les plus grandes entrées de la matrice.
We study the statistics of the largest eigenvalues of real symmetric and sample covariance matrices when the entries are heavy tailed. Extending the result obtained by Soshnikov in (Electron. Commun. Probab. 9 (2004) 82-91), we prove that, in the absence of the fourth moment, the asymptotic behavior of the top eigenvalues is determined by the behavior of the largest entries of the matrix.
Mots clés : largest eigenvalues statistics, extreme values, random matrices, heavy tails
@article{AIHPB_2009__45_3_589_0, author = {Auffinger, Antonio and Ben Arous, G\'erard and P\'ech\'e, Sandrine}, title = {Poisson convergence for the largest eigenvalues of heavy tailed random matrices}, journal = {Annales de l'I.H.P. Probabilit\'es et statistiques}, pages = {589--610}, publisher = {Gauthier-Villars}, volume = {45}, number = {3}, year = {2009}, doi = {10.1214/08-AIHP188}, mrnumber = {2548495}, zbl = {1177.15037}, language = {en}, url = {http://www.numdam.org/articles/10.1214/08-AIHP188/} }
TY - JOUR AU - Auffinger, Antonio AU - Ben Arous, Gérard AU - Péché, Sandrine TI - Poisson convergence for the largest eigenvalues of heavy tailed random matrices JO - Annales de l'I.H.P. Probabilités et statistiques PY - 2009 SP - 589 EP - 610 VL - 45 IS - 3 PB - Gauthier-Villars UR - http://www.numdam.org/articles/10.1214/08-AIHP188/ DO - 10.1214/08-AIHP188 LA - en ID - AIHPB_2009__45_3_589_0 ER -
%0 Journal Article %A Auffinger, Antonio %A Ben Arous, Gérard %A Péché, Sandrine %T Poisson convergence for the largest eigenvalues of heavy tailed random matrices %J Annales de l'I.H.P. Probabilités et statistiques %D 2009 %P 589-610 %V 45 %N 3 %I Gauthier-Villars %U http://www.numdam.org/articles/10.1214/08-AIHP188/ %R 10.1214/08-AIHP188 %G en %F AIHPB_2009__45_3_589_0
Auffinger, Antonio; Ben Arous, Gérard; Péché, Sandrine. Poisson convergence for the largest eigenvalues of heavy tailed random matrices. Annales de l'I.H.P. Probabilités et statistiques, Tome 45 (2009) no. 3, pp. 589-610. doi : 10.1214/08-AIHP188. http://www.numdam.org/articles/10.1214/08-AIHP188/
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