Abstract:
Distribution functions for random variables that depend on a parameter are computed asymptotically for ensembles of positive Hermitian matrices. The inverse Fourier transform of the distribution is shown to be a Fredholm determinant of a certain operator that is an analogue of a Wiener-Hopf operator. The asymptotic formula shows that, up to the terms of order o(1), the distributions are Gaussian.
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Received: 5 November 1996 / Accepted: 8 January 1997
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Basor, E. Distribution Functions for Random Variables for Ensembles of Positive Hermitian Matrices . Comm Math Phys 188, 327–350 (1997). https://doi.org/10.1007/s002200050167
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DOI: https://doi.org/10.1007/s002200050167