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

M.Y. Mo

Journal of Multivariate Analysis, 2010, vol. 101, issue 5, 1203-1225

Abstract: We considered NxN Wishart ensembles in the class (complex Wishart matrices with M degrees of freedom and covariance matrix [Sigma]N) such that N0 eigenvalues of [Sigma]N are 1 and N1=N-N0 of them are a. We studied the limit as M, N, N0 and N1 all go to infinity such that , and 0

Keywords: Wishart; matrices; Phase; transition; Riemann-Hilbert; problem; Random; matrix; theory; Universality (search for similar items in EconPapers)
Date: 2010
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