Decomposition of densities in individual contributions
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Decomposition of densities in individual contributions
M. P. Pato
University of São Paulo (USP)
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Tracy-Widom distributions
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Applications:
1. Longest increasing subsequence in a random permutation follows F2, and also F1 and F4
2. Growth processes F2 and also F1
3. Random tilings F2
4. Queuing theory F2
Universality:
TW hold if is replaced by
Impact: it is a distribution of extreme values of correlated sequences
2tr H HVtr
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Poisson process
• F ~ exp [-exp (-y) ], (Gumbel) if ρ(x) decays fast (exponentially)
• F ~ exp( - 1/yμ ) , (Fréchet) if ρ(x) decays with power μ+1
• F ~ exp( y ) , (Weibull) if ρ(x) is bounded
• y is properly normalized
• FN → F max-stability property → universality
t
N
tdxxdxx
NtxF ])(exp[)(
11)( max
For a i.i.d. sequence of density ρ(x) the probability of
the extreme value xmax be less than a value t is
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Tracy-Widom distributions
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Poisson process
• F ~ exp [-exp (-y) ], (Gumbel) if ρ(x) decays fast (exponentially)
• F ~ exp( - 1/yμ ) , (Fréchet) if ρ(x) decays with power μ+1
• F ~ exp( y ) , (Weibull) if ρ(x) is bounded
• y is properly normalized
• FN → F max-stability property → universality
t
N
tdxxdxx
NtxF ])(exp[)(
11)( max
For a i.i.d. sequence of density ρ(x) the probability of
the extreme value xmax be less than a value t is
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