Tracy–Widom Distribution

The Tracy–Widom distribution is a probability distribution from random matrix theory introduced by . It is the distribution of the normalized largest eigenvalue of a random Hermitian matrix. The distribution is defined as a Fredholm determinant.

In practical terms, Tracy–Widom is the crossover function between the two phases of weakly versus strongly coupled components in a system.
It also appears in the distribution of the length of the longest increasing subsequence of random permutations, as large-scale statistics in the Kardar-Parisi-Zhang equation, in current fluctuations of the asymmetric simple exclusion process (ASEP) with step initial condition, and in simplified mathematical models of the behavior of the longest common subsequence problem on random inputs. See and for experimental testing (and verifying) that the interface fluctuations of a growing droplet (or substrate) are described by the TW distribution $F_2$ (or $F_1$) as predicted by .

The distribution ''F''₁ is of particular interest in multivariate statistics.. For a discussion of the universality of ''F''_''β'', ''β'' = 1, 2, and 4, see . For an application of ''F''₁ to inferring population structure from genetic data see .
In 2017 it was proved that the distribution F is not infinitely divisible.

Definition

The Tracy–Widom distribution is defined as the limit:

:$F_2(s) = \lim_ \operatorname\left((\lambda_-\sqrt)(\sqrt)n^\leq s\right),$

where $\lambda_$ denotes the largest eigenvalue of the random matrix. The shift by $\sqrt$ is used to keep the distributions centered at 0. The multiplication by $(\sqrt)n^$ is used because the standard deviation of the distributions scales as $n^$.

Equivalent formulations

The cumulative distribution function of the Tracy–Widom distribution can be given as the Fredholm determinant

:$F_2(s) = \det(I - A_s)\,$

of the operator ''A''_''s'' on square integrable functions on the half line (''s'', ∞) with kernel given in terms of Airy functions Ai by

:$\frac.\,$

It can also be given as an integral

:$F_2(s) = \exp\left(-\int_s^\infty (x-s)q^2(x)\,dx\right)$

in terms of a solution of a Painlevé equation of type II

:$q^(s) = sq(s)+2q(s)^3\,$
where ''q'', called the Hastings–McLeod solution, satisfies the boundary condition
:$\displaystyle q(s) \sim \textrm(s), s\rightarrow\infty.$

Other Tracy–Widom distributions

The distribution ''F''₂ is associated to unitary ensembles in random matrix theory. There are analogous Tracy–Widom distributions ''F''₁ and ''F''₄ for orthogonal (''β'' = 1) and symplectic ensembles (''β'' = 4) that are also expressible in terms of the same Painlevé transcendent ''q'':
:$F_1(s)=\exp\left(-\frac\int_s^\infty q(x)\,dx\right)\, \left(F_2(s)\right)^$
and
:$F_4(s/\sqrt)=\cosh\left(\frac\int_s^\infty q(x)\, dx\right)\, \left(F_2(s)\right)^.$

For an extension of the definition of the Tracy–Widom distributions ''F''_''β'' to all ''β'' > 0 see slide 56 in and .

Numerical approximations

Numerical techniques for obtaining numerical solutions to the Painlevé equations of the types II and V, and numerically evaluating eigenvalue distributions of random matrices in the beta-ensembles were first presented by using MATLAB. These approximation techniques were further analytically justified in and used to provide numerical evaluation of Painlevé II and Tracy–Widom distributions (for ''β'' = 1, 2, and 4) in S-PLUS. These distributions have been tabulated in to four significant digits for values of the argument in increments of 0.01; a statistical table for p-values was also given in this work. gave accurate and fast algorithms for the numerical evaluation of ''F''_''β'' and the density functions ''f''_''β''(''s'') = ''dF''_''β''/''ds'' for ''β'' = 1, 2, and 4. These algorithms can be used to compute numerically the mean, variance, skewness and excess kurtosis of the distributions ''F''_''β''.

Functions for working with the Tracy–Widom laws are also presented in the R package 'RMTstat' by and MATLAB package 'RMLab' by .

For a simple approximation based on a shifted gamma distribution see .

developed a spectral algorithm for the eigendecomposition of the integral operator $A_s$, which can be used to rapidly evaluate Tracy–Widom distributions, or, more generally, the distributions of the ''k''th largest level at the soft edge scaling limit of Gaussian ensembles, to machine accuracy.

See also

* Wigner semicircle distribution
* Marchenko–Pastur distribution

Footnotes

References

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Further reading

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External links

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At the Far Ends of a New Universal Law
Quanta Magazine

{{DEFAULTSORT:Tracy-Widom distribution
Continuous distributions
Random matrices
Special functions