Correlated Wishart matrices and critical horizons
Z. Burda,
A. Görlich,
J. Jurkiewicz and
B. Wacław ()
The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 49, issue 3, 319-323
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 Marčenko-Pastur equation. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006
Keywords: 02.50.-r Probability theory; stochastic processes; and statistics (see also section 05 Statistical physics; thermodynamics; and nonlinear dynamical systems); 02.60.-x Numerical approximation and analysis (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:49:y:2006:i:3:p:319-323
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DOI: 10.1140/epjb/e2006-00079-y
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