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Spectral moments of correlated Wishart matrices

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Original languageEnglish
Article number026111
Pages (from-to)-
Number of pages11
JournalPhysical Review E - Statistical, Nonlinear and Soft Matter Physics
Volume71
Issue number2
DOIs
Publication statusPublished - Feb 2005

Abstract

We present an analytic method to determine the spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral moments and the eigenvalue densities of the covariance matrices and their estimators. The results can be used in practice to extract the information about genuine correlations from the given experimental realization of random matrices.

    Research areas

  • FINANCIAL CORRELATION-MATRICES, NOISE, SIGNAL

ID: 1217986