Eigenvalue density of the doubly correlated Wishart model: exact results

DOI10.1088/1751-8113/48/17/175204zbMath1315.65040arXiv1412.3092OpenAlexW3105786523MaRDI QIDQ5250266

Daniel Waltner, Tim Wirtz, Thomas Guhr

Publication date: 19 May 2015

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.3092

zbMATH Keywords

data analysisrandom matrixsupersymmetryeigenvalue densityWishart correlation matricesdoubly correlated Wishart model

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Random matrices (probabilistic aspects) (60B20) Supersymmetry and quantum mechanics (81Q60) Random matrices (algebraic aspects) (15B52)

Related Items (5)

The correlated Jacobi and the correlated Cauchy-Lorentz ensembles ⋮ Spectra of large time-lagged correlation matrices from random matrix theory ⋮ Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations ⋮ Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model ⋮ Asymptotic coincidence of the statistics for degenerate and non-degenerate correlated real Wishart ensembles

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