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Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution.
Marco Chiani
Published in:
J. Multivar. Anal. (2014)
Keyphrases
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uniformly distributed
gaussian distribution
spatial distribution
density function
heavy tailed
least squares
power law
neural network
real world
feature space
probability distribution
singular value decomposition
normal distribution
independent and identically distributed
probability mass