Characteristic polynomials of sample covariance matrices (Q548156)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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