Characteristic Polynomials of Sample Covariance Matrices

H. Kösters ()
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H. Kösters: University of Bielefeld

Journal of Theoretical Probability, 2011, vol. 24, issue 2, 545-576

Abstract: Abstract We investigate the second-order correlation function of the characteristic polynomial of a sample covariance matrix. Starting from an explicit formula for a generating function, we reobtain several well-known kernels from random matrix theory.

Keywords: Random matrices; Sample covariance matrices; Characteristic polynomial; 60B20; 15B52; 62E20 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10959-010-0290-y

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