Characteristic polynomials of sample covariance matrices

DOI10.1007/S10959-010-0290-YzbMATH Open1250.62034arXiv0906.2763OpenAlexW2088451130MaRDI QIDQ548156FDOQ548156

Holger Kösters

Publication date: 28 June 2011

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

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.

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

Recommendations

• Characteristic polynomials of sample covariance matrices: the non-square case
• Characteristic polynomials
• On the correlation functions of the characteristic polynomials of the Hermitian sample covariance matrices
• On the second-order correlation function of the characteristic polynomial of a Hermitian Wigner matrix
• On the correlation functions of the characteristic polynomials of real random matrices with independent entries

zbMATH Keywords

asymptotic analysisgenerating functionsrandom matricessample covariance matricesAiry kernelsBessel kernelssine kernels

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (algebraic aspects) (15B52)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong asymptotics of Laguerre-type orthogonal polynomials and applications in random matrix theory
• Characteristic polynomials of random matrices.
• Random covariance matrices: universality of local statistics of eigenvalues
• Averages of characteristic polynomials in random matrix theory
• An exact formula for general spectral correlation function of random Hermitian matrices
• Universality of local eigenvalue statistics for some sample covariance matrices
• Universal results for correlations of characteristic polynomials: Riemann-Hilbert approach
• Random matrix theory and \(\zeta(1/2+it)\).
• Characteristic polynomials of real symmetric random matrices
• On the second-order correlation function of the characteristic polynomial of a Hermitian Wigner matrix
• Random matrices: The distribution of the smallest singular values
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• Counting formulas associated with some random matrix averages
• Random matrix theory and \(L\)-functions at \(s=1/2\).
• Universal behavior for averages of characteristic polynomials at the origin of the spectrum
• Products and ratios of characteristic polynomials of random Hermitian matrices
• Universal random matrix correlations of ratios of characteristic polynomials at the spectral edges
• Asymptotics of Characteristic Polynomials of Wigner Matrices at the Edge of the Spectrum
• On the second-order correlation function of the characteristic polynomial of a real symmetric Wigner matrix
• Universality of the edge distribution of eigenvalues of Wigner random matrices with polynomially decaying distributions of entries

Cited In (4)

• Second-quantization approach to characteristic polynomials in RMT
• Superposition of random plane waves in high spatial dimensions: Random matrix approach to landscape complexity
• Characteristic polynomials of sample covariance matrices: the non-square case
• Title not available (Why is that?)

This page was built for publication: Characteristic polynomials of sample covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q548156)