Random Matrices: the Distribution of the Smallest Singular Values |
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| Authors: | Terence Tao Van Vu |
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| Institution: | 1. Department of Mathematics, UCLA, Los Angeles, CA, 90095-1555, USA
2. Department of Mathematics, Rutgers University, Piscataway, NJ, 08854-8019, USA
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| Abstract: | Let ξ be a real-valued random variable of mean zero and variance 1. Let M
n
(ξ) denote the n × n random matrix whose entries are iid copies of ξ and σ
n
(M
n
(ξ)) denote the least singular value of M
n
(ξ). The quantity σ
n
(M
n
(ξ))2 is thus the least eigenvalue of the Wishart matrix MnMn*{M_nM_n^\ast}. |
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| Keywords: | |
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