Spectral density asymptotics for Gaussian and Laguerre -ensembles in the exponentially small region

Abstract

The first two terms in the large N asymptotic expansion of the moment of the characteristic polynomial for the Gaussian and Laguerre -ensembles are calculated. This is used to compute the asymptotic expansion of the spectral density in these ensembles, in the exponentially small region outside the leading support, up to terms o(1) . The leading form of the right tail of the distribution of the largest eigenvalue is given by the density in this regime. It is demonstrated that there is a scaling from this, to the right tail asymptotics for the distribution of the largest eigenvalue at the soft edge. © 2012 IOP Publishing Ltd.