Spectral Density of Sample Covariance Matrices of Colored Noise

Details Spectral Density of Sample Covariance Matrices of Colored Noise Spectral Density of Sample Covariance Matrices of Colored Noise

2008-07-15

arxiv.org/abs/0807.2378v2

Physics

Data Analysis, Statistics and Probability

Scientific paper

We study the dependence of the spectral density of the covariance matrix
ensemble on the power spectrum of the underlying multivariate signal. The white
noise signal leads to the celebrated Marchenko-Pastur formula. We demonstrate
results for some colored noise signals.

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