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Correlated Wishart matrices and critical horizons

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Original languageEnglish
Pages (from-to)319-323
Number of pages5
JournalEuropean Physical Journal B
Volume49
Issue number3
DOIs
Publication statusPublished - Feb 2006

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.

    Research areas

  • DIMENSIONAL RANDOM MATRICES, NOISE

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