Completing the picture for the smallest eigenvalue of real Wishart matrices

Abstract

Rectangular real N×(N+ν) matrices W with a Gaussian distribution appear very frequently in data analysis, condensed matter physics, and quantum field theory. A central question concerns the correlations encoded in the spectral statistics of WWT. The extreme eigenvalues of WWT are of particular interest. We explicitly compute the distribution and the gap probability of the smallest nonzero eigenvalue in this ensemble, both for arbitrary fixed N and ν, and in the universal large N limit with ν fixed. We uncover an integrable Pfaffian structure valid for all even values of ν≥0. This extends previous results for odd ν at infinite N and recursive results for finite N and for all ν. Our mathematic..