Supersymmetry approach to Wishart correlation matrices: exact results

DOI10.1007/S10955-012-0567-XzbMATH Open1254.82019arXiv1012.1234OpenAlexW3098725257MaRDI QIDQ690722FDOQ690722

Christian Recher, Thomas Guhr, Mario Kieburg, M. R. Zirnbauer

Publication date: 29 November 2012

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We calculate the `one-point function', meaning the marginal probability density function for any single eigenvalue, of real and complex Wishart correlation matrices. No explicit expression had been obtained for the real case so far. We succeed in doing so by using supersymmetry techniques to express the one-point function of real Wishart correlation matrices as a twofold integral. The result can be viewed as a resummation of a series of Jack polynomials in a non-trivial case. We illustrate our formula by numerical simulations. We also rederive a known expression for the one-point function of complex Wishart correlation matrices.

Full work available at URL: https://arxiv.org/abs/1012.1234

zbMATH Keywords

supersymmetryWishart correlation matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Supersymmetric field theories in quantum mechanics (81T60) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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Cited In (9)

• The correlated Jacobi and the correlated Cauchy-Lorentz ensembles
• Asymptotic coincidence of the statistics for degenerate and non-degenerate correlated real Wishart ensembles
• On the correlation functions of the characteristic polynomials of non-Hermitian random matrices with independent entries
• New correlation functions for random matrices and integrals over supergroups
• Exact relation between singular value and eigenvalue statistics
• On the Correlation Functions of the Characteristic Polynomials of Random Matrices with Independent Entries: Interpolation Between Complex and Real Cases
• Optimal lower bound on the least singular value of the shifted Ginibre ensemble
• Eigenfunction statistics of Wishart Brownian ensembles
• Spectra of large time-lagged correlation matrices from random matrix theory

Uses Software

• Mathematica

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