Non-white Wishart ensembles (Q2489490)

The scope of this paper is to study the asymptotic eigenvalue statistics. The paper is organized as follows: The author first computes the correlation functions of a non-white Wishart ensemble. This requires the computation of the joint eigenvalue density, which has been obtained by \textit{A. T. James} [Ann. Math. Stat. 35, 475--501 (1964; Zbl 0121.36605)]. The author then uses this result to obtain suitable expression for the correlation functions. In Section 3, the author obtains asymptotic expansion of these correlation functions in the bulk of the spectrum. This follows from a saddle point argument. A similar asymptotic analysis of correlation functions is then cast in Section 4 for the study of local eigenvalue statistics at the edge. In Section 5, the author studies the fluctuations of the spectral measure around the limiting Marchenko-Pastur law. This will make use of the local asymptotic results established in the first few sections.