Spectral density of a Wishart model for nonsymmetric Correlation Matrices

DOI10.1103/PHYSREVE.88.042130MaRDI QIDQ6242564zbMATH OpenWikidataFDO

Authors Vinayak

Publication date 10 June 2013

Full work available at URL https://doi.org/10.1103/PHYSREVE.88.042130

Abstract: The Wishart model for real symmetric correlation matrices is defined as $mathsfW=mathsf{AA}^t$, where matrix $mathsfA$ is usually a rectangular Gaussian random matrix and $mathsf{A}^t$ is the transpose of $mathsfA$. Analogously, for nonsymmetric correlation matrices, a model may be defined for two statistically equivalent but different matrices $mathsfA$ and $mathsfB$ as $mathsf{AB}^t$. The corresponding Wishart model, thus, is defined as $mathbfC=mathsf{AB}^{t}mathsf{BA}^t$. We study the spectral density of $mathbfC$ for the case when $mathsfA$ and $mathsfB$ are not statistically independent. The ensemble average of such nonsymmetric matrices, therefore, does not simply vanishes to a null matrix. In this paper we derive a Pastur self-consistent equation which describes spectral density of large $mathbfC$. We complement our analytic results with numerics.

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