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math-ph2013★ 11 cited
Distribution of the Smallest Eigenvalue in Complex and Real Correlated Wishart Ensembles
Tim Wirtz, Thomas Guhr
For the correlated Gaussian Wishart ensemble we compute the distribution of the smallest eigenvalue and a related gap probability.We obtain exact results for the complex (β=2) and…
math-ph2013★ 26 cited
Distribution of the Smallest Eigenvalue in the Correlated Wishart Model
Tim Wirtz, Thomas Guhr
Wishart random matrix theory is of major importance for the analysis of correlated time series. The distribution of the smallest eigenvalue for Wishart correlation matrices is part…