Correlated Wishart matrices and critical horizons
Mark Kac Center for Complex Systems Research and Marian Smoluchowski Institute of Physics, Jagellonian University, Reymonta 4, 30-059 Kraków, Poland
Corresponding author: a firstname.lastname@example.org
Published online: 10 March 2006
We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of 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.
PACS: 02.50.-r – Probability theory, stochastic processes, and statistics (see also section 05 Statistical physics, thermodynamics, and nonlinear dynamical systems) / 02.60.-x – Numerical approximation and analysis
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2006