Correlated Wishart Matrices and Critical Horizons

Abstract

We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on the analysis of the behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marčenko-Pastur equation.

4 pages, 4 figures

References in corpus (4)

• Signal and Noise in Correlation Matrix
• Spectral Moments of Correlated Wishart Matrices
• Information transfer through disordered media by diffuse waves
• Langevin description of speckle dynamics in nonlinear disordered media

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