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

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Characteristic polynomials of sample covariance matrices
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    Characteristic polynomials of sample covariance matrices (English)
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    28 June 2011
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    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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    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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