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Correlated Wishart Matrices and Critical Horizons

Zdzislaw Burda·Andrzej Goerlich·Jerzy Jurkiewicz·Bartlomiej Waclaw
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Abstract

We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on the analysis of the 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.

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BibTeXRIS

Zdzislaw Burda, Andrzej Goerlich, Jerzy Jurkiewicz, Bartlomiej Waclaw. 2005-08-14. Correlated Wishart Matrices and Critical Horizons. https://doi.org/10.1140/epjb%2Fe2006-00079-y

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