Characteristic polynomials of sample covariance matrices
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Publication:548156
DOI10.1007/S10959-010-0290-YzbMATH Open1250.62034OpenAlexW2088451130MaRDI QIDQ548156FDOQ548156
Abstract: We investigate the second-order correlation function of the characteristic polynomial of a sample covariance matrix. Starting from an explicit formula for the generating function, we re-obtain several well-known kernels from random matrix theory.
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Cited in
(5)- Superposition of random plane waves in high spatial dimensions: Random matrix approach to landscape complexity
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