Supersymmetry approach to Wishart correlation matrices: Exact results

Details Supersymmetry approach to Wishart correlation matrices: Exact results Supersymmetry approach to Wishart correlation matrices: Exact results

2010-12-06

arxiv.org/abs/1012.1234v2

Mathematics

Statistics Theory

2 figures

Scientific paper

We calculate the marginal probability density of real and complex Wishart correlation matrices. For deep mathematical reasons, no explicit expression could be obtained for the real case so far. We circumvent these problems by using a supersymmetry approach. This allows us to derive an exact expression for the marginal probability density of real Wishart correlation matrices in terms of twofold integrals. Within this approach the result for the marginal probability density of complex Wishart correlation matrices is rederived as a test case.

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