Characteristic Polynomials of Sample Covariance Matrices

Details Characteristic Polynomials of Sample Covariance Matrices Characteristic Polynomials of Sample Covariance Matrices

2009-06-15

arxiv.org/abs/0906.2763v1

Mathematics

Probability

26 pages

Scientific paper

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

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