Characteristic polynomials of sample covariance matrices

DOI10.1007/s10959-010-0290-yzbMath1250.62034arXiv0906.2763OpenAlexW2088451130MaRDI 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 functionsrandom matricesasymptotic analysissample covariance matricesAiry kernelsBessel kernelssine kernels

Mathematics Subject Classification ID

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

Related Items (2)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random covariance matrices: universality of local statistics of eigenvalues
• On the second-order correlation function of the characteristic polynomial of a Hermitian Wigner matrix
• Universality of the edge distribution of eigenvalues of Wigner random matrices with polynomially decaying distributions of entries
• Strong asymptotics of Laguerre-type orthogonal polynomials and applications in random matrix theory
• Random matrices: The distribution of the smallest singular values
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• On the second-order correlation function of the characteristic polynomial of a real symmetric Wigner matrix
• Universal random matrix correlations of ratios of characteristic polynomials at the spectral edges
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• Universal results for correlations of characteristic polynomials: Riemann-Hilbert approach
• Universal behavior for averages of characteristic polynomials at the origin of the spectrum
• Counting formulas associated with some random matrix averages
• Asymptotics of Characteristic Polynomials of Wigner Matrices at the Edge of the Spectrum
• Averages of characteristic polynomials in random matrix theory
• An exact formula for general spectral correlation function of random Hermitian matrices
• Products and ratios of characteristic polynomials of random Hermitian matrices
• Universality of local eigenvalue statistics for some sample covariance matrices
• Characteristic polynomials of random matrices.
• Random matrix theory and \(L\)-functions at \(s=1/2\).
• Random matrix theory and \(\zeta(1/2+it)\).
• Characteristic polynomials of real symmetric random matrices

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