Spectral Moments of Correlated Wishart Matrices

Details Spectral Moments of Correlated Wishart Matrices Spectral Moments of Correlated Wishart Matrices

2004-05-12

arxiv.org/abs/cond-mat/0405263v1

Phys. Rev. E71, 026111 (2005)

Physics

Condensed Matter

Statistical Mechanics

12 revtex pages + 6 eps files

Scientific paper

10.1103/PhysRevE.71.026111

We present an analytic method to determine spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral moments and the eigenvalue densities of the covariance matrices and their estimators. The results can be used in practice to extract information about the genuine correlations from the given experimental realization of random matrices.

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