Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model

DOI10.1088/1751-8121/ABE428OpenAlexW3128303552MaRDI QIDQ5876985FDOQ5876985

Thomas Guhr, Author name not available (Why is that?)

Publication date: 3 February 2023

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.07573

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zbMATH Keywords

random matrix theorystatistical inferencealgebraic heavy tails

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX) Quantum theory (81-XX)

Cites Work

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• Eigenvalue density of the doubly correlated Wishart model: exact results
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• Negative moments of characteristic polynomials of random matrices: Ingham-Siegel integral as an alternative to Hubbard-Stratonovich transformation
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• Jacobi Polynomials Associated with Selberg Integrals
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• Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
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• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data

Cited In (1)

• An Introduction to Wishart Matrix Moments

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