Poisson convergence for the largest eigenvalues of Heavy Tailed Random Matrices

Auffinger, Antonio; Arous, Gerard Ben; Peche, Sandrine

Poisson convergence for the largest eigenvalues of Heavy Tailed Random Matrices

Authors

Auffinger, Antonio

Arous, Gerard Ben

Peche, Sandrine

Description

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 \cite{Sos1}, we prove that, in the absence of the fourth moment, the top eigenvalues behave, in the limit, as the largest entries of the matrix.
22 pages, to appear in Annales de l'Institut Henri Poincare