Correlated Wishart matrices and critical horizons

Z  Burda; A  Gorlich; J  Jurkiewicz; B  Waclaw

doi:10.1140/epjb/e2006-00079-y

Correlated Wishart matrices and critical horizons

Z Burda, A Gorlich, J Jurkiewicz, B Waclaw

School of Physics and Astronomy

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marcenko-Pastur equation.

Original language	English
Pages (from-to)	319-323
Number of pages	5
Journal	The European Physical Journal B
Volume	49
Issue number	3
DOIs	https://doi.org/10.1140/epjb/e2006-00079-y
Publication status	Published - Feb 2006

Keywords / Materials (for Non-textual outputs)

DIMENSIONAL RANDOM MATRICES
NOISE

Access to Document

10.1140/epjb/e2006-00079-y

Cite this

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title = "Correlated Wishart matrices and critical horizons",

abstract = "We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marcenko-Pastur equation.",

keywords = "DIMENSIONAL RANDOM MATRICES, NOISE",

author = "Z Burda and A Gorlich and J Jurkiewicz and B Waclaw",

year = "2006",

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doi = "10.1140/epjb/e2006-00079-y",

language = "English",

volume = "49",

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T1 - Correlated Wishart matrices and critical horizons

AU - Burda, Z

AU - Gorlich, A

AU - Jurkiewicz, J

AU - Waclaw, B

PY - 2006/2

Y1 - 2006/2

N2 - We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marcenko-Pastur equation.

AB - We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marcenko-Pastur equation.

KW - DIMENSIONAL RANDOM MATRICES

KW - NOISE

U2 - 10.1140/epjb/e2006-00079-y

DO - 10.1140/epjb/e2006-00079-y

M3 - Article

SN - 1434-6028

VL - 49

SP - 319

EP - 323

JO - The European Physical Journal B

JF - The European Physical Journal B

IS - 3

ER -