Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues

DOI10.1016/j.jmva.2009.12.004zbMath1189.15045OpenAlexW1976867085MaRDI QIDQ962215

Man Yue Mo

Publication date: 6 April 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.12.004

zbMATH Keywords

eigenvaluesRiemann-Hilbert problemphase transitionuniversalityrandom matrix theorycovariance matricesWishart matriceslocal eigenvalue statisticsWishart ensembles

Mathematics Subject Classification ID

Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

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Nonintersecting Brownian bridges between reflecting or absorbing walls ⋮ A Survey on the Eigenvalues Local Behavior of Large Complex Correlated Wishart Matrices

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