High dimensional regimes of non-stationary Gaussian correlated Wishart matrices

Solesne Bourguin, Thanh Dang

We study the high-dimensional asymptotic regimes of correlated Wishart matrices $d^{-1}\mathcal{Y}{\mathcal{Y}}^T$, where $\mathcal{Y}$ is a $n\times d$ Gaussian random matrix with c…