Genus expansion for real Wishart matrices

Details Genus expansion for real Wishart matrices Genus expansion for real Wishart matrices

2009-10-29

arxiv.org/abs/0910.5541v1

J. Theoret. Probab., 24(4):1044--1062, 2011

Mathematics

Probability

Scientific paper

We present an exact formula for moments and cumulants of several real compound Wishart matrices in terms of an Euler characteristic expansion, similar to the genus expansion for complex random matrices. We consider their asymptotic values in the large matrix limit: as in a genus expansion, the terms which survive in the large matrix limit are those with the greatest Euler characteristic, that is, either spheres or collections of spheres. This topological construction motivates an algebraic expression for the moments and cumulants in terms of the symmetric group. We examine the combinatorial properties distinguishing the leading order terms. By considering higher cumulants, we give a central limit-type theorem for the asymptotic distribution around the expected value.

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