Characteristic polynomials of sample covariance matrices: the non-square case
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Publication:607429
DOI10.2478/S11533-010-0035-2zbMATH Open1204.15044arXiv0912.2956OpenAlexW2004583076MaRDI QIDQ607429FDOQ607429
Authors: Holger Kösters 
Publication date: 22 November 2010
Published in: Central European Journal of Mathematics (Search for Journal in Brave)
Abstract: We consider the sample covariance matrices of large data matrices which have i.i.d. complex matrix entries and which are non-square in the sense that the difference between the number of rows and the number of columns tends to infinity. We show that the second-order correlation function of the characteristic polynomial of the sample covariance matrix is asymptotically given by the sine kernel in the bulk of the spectrum and by the Airy kernel at the edge of the spectrum. Similar results are given for real sample covariance matrices.
Full work available at URL: https://arxiv.org/abs/0912.2956
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Bessel functionsrandom matricesspectrumAiry kernelcharacteristic polynomialsHamiltonian matrixsine kernelcomplex sample covariance matrixreal sample covariance matrix
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Cited In (5)
- Characteristic polynomials of sample covariance matrices
- Characteristic polynomials for random band matrices near the threshold
- On the correlation functions of the characteristic polynomials of the Hermitian sample covariance matrices
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- On the second mixed moment of the characteristic polynomials of 1D band matrices
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