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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:
CoRR (2012)
Keyphrases
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probability distribution
uniformly distributed
data distribution
gaussian distribution
real world
least squares
density function
marginal distributions
heavy tailed
data sets
neural network
multiscale
probability density function
approximation algorithms
probability density
discrete random variables