Characteristic polynomials of sample covariance matrices (Q548156): Difference between revisions
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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. | |||
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. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Paul-Olivier Dehaye / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62H99 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 15B52 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62H20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62E20 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 5913958 / rank | |||
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Property / zbMATH Keywords | |||
random matrices | |||
Property / zbMATH Keywords: random matrices / rank | |||
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sample covariance matrices | |||
Property / zbMATH Keywords: sample covariance matrices / rank | |||
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sine kernels | |||
Property / zbMATH Keywords: sine kernels / rank | |||
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Airy kernels | |||
Property / zbMATH Keywords: Airy kernels / rank | |||
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Bessel kernels | |||
Property / zbMATH Keywords: Bessel kernels / rank | |||
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generating functions | |||
Property / zbMATH Keywords: generating functions / rank | |||
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asymptotic analysis | |||
Property / zbMATH Keywords: asymptotic analysis / rank | |||
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Revision as of 11:55, 1 July 2023
scientific article
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English | 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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