Characteristic polynomials of sample covariance matrices

DOI10.1007/s10959-010-0290-yzbMath1250.62034arXiv0906.2763MaRDI QIDQ548156

Holger Kösters

Publication date: 28 June 2011

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2763

zbMATH Keywords

generating functions; random matrices; asymptotic analysis; sample covariance matrices; Airy kernels; Bessel kernels; sine kernels

Mathematics Subject Classification ID

62H99: Multivariate analysis

62E20: Asymptotic distribution theory in statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

60E10: Characteristic functions; other transforms

15B52: Random matrices (algebraic aspects)

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