On a Generalisation of the Marcenko-Pastur Problem

Publication date 15 September 2020

Abstract: We study the spectrum of generalized Wishart matrices, defined as

m a t h b f F = (X Y^{o} p + Y X^{o} p) / 2 T

, where

X

and

Y

are

N i m e s T

matrices with zero mean, unit variance IID entries and such that

m a t h b b E [X_{i t} Y_{j t}] = c d e l t a_{i, j}

. The limit

c = 1

corresponds to the Marcenko-Pastur problem. For a general

c

, we show that the Stietjes transform of

m a t h b f F

is the solution of a cubic equation. In the limit

c = 0

,

T g g N

the density of eigenvalues converges to the Wigner semi-circle.

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