Completing the picture for the smallest eigenvalue of real Wishart matrices

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 WW^{T}. The extreme eigenvalues of WW^{T} 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 mathematical results include the computation of expectation values of half-integer powers of characteristic polynomials.