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Large deviations principle for the largest eigenvalue of Wigner matrices without Gaussian tails
Published 27 Feb 2015 in math.PR | (1502.07983v3)
Abstract: We prove a large deviation principle for the largest eigenvalue of Wigner matrices without Gaussian tails, namely such that the distribution tails $\mathbb{P}( |X_{1,1}|>t)$ and $\mathbb{P}(|X_{1,2}|>t)$ behave like $e{-bt{\alpha}}$ and $e{-at{\alpha}}$ respectively for some $a,b\in (0,+\infty)$ and $\alpha\in (0,2)$. The large deviation principle is of speed $N{\alpha/2}$ and with a good rate function depending only on the tail distribution of the entries.
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