Correlated Wishart Matrices and Critical Horizons

Details Correlated Wishart Matrices and Critical Horizons Correlated Wishart Matrices and Critical Horizons

2005-08-14

arxiv.org/abs/cond-mat/0508341v1

Eur.Phys.J.B49:319,2006

Physics

Condensed Matter

Statistical Mechanics

4 pages, 4 figures

Scientific paper

10.1140/epjb/e2006-00079-y

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 Mar\v{c}enko-Pastur equation.

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