Correlated Wishart matrices and critical horizons
J. Jurkiewicz and
B. Wacław ()
The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 49, issue 3, 319-323
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)
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