EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1140/epjb/e2006-00079-y (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:49:y:2006:i:3:p:319-323

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2006-00079-y

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2023-11-13
Handle: RePEc:spr:eurphb:v:49:y:2006:i:3:p:319-323