Note on the representation of the gap formation probability for real and quaternion Wishart matrices

TL;DR

This paper derives compact determinant expressions for the gap formation probability of smallest eigenvalues in large real and quaternion Wishart matrices, revealing their connection to Toda lattice equations.

Contribution

It provides new determinant formulas for the gap formation probability in Wishart matrices and links these to Toda lattice equations, enhancing understanding of eigenvalue distributions.

Findings

Determinant expressions for gap formation probabilities.

Connection to Toda lattice equations in eigenvalue statistics.

Applicable to large real and quaternion Wishart matrices.

Abstract

Wishart random matrices are often used to model multivariate systems in physics, finance, biology and wireless communication. Extreme value statistics, such as those of the smallest eigenvalue, can be used to test the accuracy of the model. In this article we study the gap formation probability (cumulative distribution function of the smallest eigenvalue) for real and quaternion $N\times \left(N+\nu\right)$ Wishart random matrices in the large $N$ limit. We derive compact expression in terms of determinants of known functions. As a consequence of this representation, the gap formation probabilities solve the Toda lattice equation, in the index $\nu$ for $\nu$ even and for $\nu$ odd separately.