Distribution of the smallest eigenvalue in complex and real correlated Wishart ensembles

DOI10.1088/1751-8113/47/7/075004zbMath1283.62108arXiv1310.2467OpenAlexW3099374777MaRDI QIDQ5404784

Tim Wirtz, Thomas Guhr

Publication date: 28 March 2014

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

Full work available at URL: https://arxiv.org/abs/1310.2467

zbMATH Keywords

multivariate statisticsuniversalitysupersymmetryrandom matrix theorycorrelated Wishart matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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The correlated Jacobi and the correlated Cauchy-Lorentz ensembles ⋮ Asymptotic coincidence of the statistics for degenerate and non-degenerate correlated real Wishart ensembles

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