Characteristic polynomials of sample covariance matrices (Q548156): Difference between revisions

The author investigates the second-order correlation function of the characteristic polynomial of a sample covariance matrix. The results are valid in the complex and real setting, in the bulk , the soft edge and the hard edge of the spectrum. He obtains an explicit expression for an exponential-type generating function of the second-order correlation function of the characteristic polynomial. He recovers the well-known kernels of random matrix theory by asymptotic analysis.

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reviewed by

Paul-Olivier Dehaye

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zbMATH Keywords

random matrices

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sample covariance matrices

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sine kernels

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Airy kernels

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Bessel kernels

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generating functions

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asymptotic analysis

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Universal random matrix correlations of ratios of characteristic polynomials at the spectral edges

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Q3796553

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Products and ratios of characteristic polynomials of random Hermitian matrices

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Universality of local eigenvalue statistics for some sample covariance matrices

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Averages of characteristic polynomials in random matrix theory

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Characteristic polynomials of random matrices.

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Characteristic polynomials of real symmetric random matrices

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Q5827353

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Q3574974

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Counting formulas associated with some random matrix averages

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An exact formula for general spectral correlation function of random Hermitian matrices

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On the second-order correlation function of the characteristic polynomial of a Hermitian Wigner matrix

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Random matrix theory and \(\zeta(1/2+it)\).

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Random matrix theory and \(L\)-functions at \(s=1/2\).

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On the second-order correlation function of the characteristic polynomial of a real symmetric Wigner matrix

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Asymptotics of Characteristic Polynomials of Wigner Matrices at the Edge of the Spectrum

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Q4681935

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Q3219581

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Q4059363

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Universality results for the largest eigenvalues of some sample covariance matrix ensembles

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Universality of the edge distribution of eigenvalues of Wigner random matrices with polynomially decaying distributions of entries

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A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices

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Universal results for correlations of characteristic polynomials: Riemann-Hilbert approach

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Random matrices: The distribution of the smallest singular values

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Random covariance matrices: universality of local statistics of eigenvalues

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Universal behavior for averages of characteristic polynomials at the origin of the spectrum

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Strong asymptotics of Laguerre-type orthogonal polynomials and applications in random matrix theory

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Identifiers

zbMATH Open document ID

1250.62034

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DOI

10.1007/s10959-010-0290-y

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:548156

@@ Property / author @@
-Holger Kösters
@@ Property / author: Holger Kösters / rank @@
-Normal rank
@@ Property / review text @@
+The author investigates the second-order correlation function of the characteristic polynomial of a sample covariance matrix. The results are valid in the complex and real setting, in the bulk , the soft edge and the hard edge of the spectrum. He obtains an explicit expression for an exponential-type generating function of the second-order correlation function of the characteristic polynomial. He recovers the well-known kernels of random matrix theory by asymptotic analysis.
+Normal rank
@@ Property / reviewed by @@
+Paul-Olivier Dehaye
@@ Property / reviewed by: Paul-Olivier Dehaye / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H99
@@ Property / Mathematics Subject Classification ID: 62H99 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B52
@@ Property / Mathematics Subject Classification ID: 15B52 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E10
@@ Property / Mathematics Subject Classification ID: 60E10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H20
@@ Property / Mathematics Subject Classification ID: 62H20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5913958
@@ Property / zbMATH DE Number: 5913958 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+random matrices
@@ Property / zbMATH Keywords: random matrices / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+sample covariance matrices
@@ Property / zbMATH Keywords: sample covariance matrices / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+sine kernels
@@ Property / zbMATH Keywords: sine kernels / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Airy kernels
@@ Property / zbMATH Keywords: Airy kernels / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Bessel kernels
@@ Property / zbMATH Keywords: Bessel kernels / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generating functions
@@ Property / zbMATH Keywords: generating functions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+asymptotic analysis
@@ Property / zbMATH Keywords: asymptotic analysis / rank @@
+Normal rank
@@ Property / author @@
+Holger Kösters
@@ Property / author: Holger Kösters / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2088451130
@@ Property / OpenAlex ID: W2088451130 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2763
@@ Property / arXiv ID: 0906.2763 / rank @@
+Normal rank
@@ Property / cites work @@
+Universal random matrix correlations of ratios of characteristic polynomials at the spectral edges
+Normal rank
@@ Property / cites work @@
+Q3796553
@@ Property / cites work: Q3796553 / rank @@
+Normal rank
@@ Property / cites work @@
+Products and ratios of characteristic polynomials of random Hermitian matrices
+Normal rank
@@ Property / cites work @@
+Universality of local eigenvalue statistics for some sample covariance matrices
+Normal rank
@@ Property / cites work @@
+Averages of characteristic polynomials in random matrix theory
+Normal rank
@@ Property / cites work @@
+Characteristic polynomials of random matrices.
@@ Property / cites work: Characteristic polynomials of random matrices. / rank @@
+Normal rank
@@ Property / cites work @@
+Characteristic polynomials of real symmetric random matrices
+Normal rank
@@ Property / cites work @@
+Q5827353
@@ Property / cites work: Q5827353 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3574974
@@ Property / cites work: Q3574974 / rank @@
+Normal rank
@@ Property / cites work @@
+Counting formulas associated with some random matrix averages
+Normal rank
@@ Property / cites work @@
+An exact formula for general spectral correlation function of random Hermitian matrices
+Normal rank
@@ Property / cites work @@
+On the second-order correlation function of the characteristic polynomial of a Hermitian Wigner matrix
+Normal rank
@@ Property / cites work @@
+Random matrix theory and \(\zeta(1/2+it)\).
@@ Property / cites work: Random matrix theory and \(\zeta(1/2+it)\). / rank @@
+Normal rank
@@ Property / cites work @@
+Random matrix theory and \(L\)-functions at \(s=1/2\).
+Normal rank
@@ Property / cites work @@
+On the second-order correlation function of the characteristic polynomial of a real symmetric Wigner matrix
+Normal rank
@@ Property / cites work @@
+Asymptotics of Characteristic Polynomials of Wigner Matrices at the Edge of the Spectrum
+Normal rank
@@ Property / cites work @@
+Q4681935
@@ Property / cites work: Q4681935 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3219581
@@ Property / cites work: Q3219581 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4059363
@@ Property / cites work: Q4059363 / rank @@
+Normal rank
@@ Property / cites work @@
+Universality results for the largest eigenvalues of some sample covariance matrix ensembles
+Normal rank
@@ Property / cites work @@
+Universality of the edge distribution of eigenvalues of Wigner random matrices with polynomially decaying distributions of entries
+Normal rank
@@ Property / cites work @@
+A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
+Normal rank
@@ Property / cites work @@
+Universal results for correlations of characteristic polynomials: Riemann-Hilbert approach
+Normal rank
@@ Property / cites work @@
+Random matrices: The distribution of the smallest singular values
+Normal rank
@@ Property / cites work @@
+Random covariance matrices: universality of local statistics of eigenvalues
+Normal rank
@@ Property / cites work @@
+Universal behavior for averages of characteristic polynomials at the origin of the spectrum
+Normal rank
@@ Property / cites work @@
+Strong asymptotics of Laguerre-type orthogonal polynomials and applications in random matrix theory
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:548156