On a Generalisation of the Marcenko-Pastur Problem

We study the spectrum of generalized Wishart matrices, defined as \(\mathbf{F}=( X Y^\top + Y X^\top)/2T\), where \(X\) and \(Y\) are \(N \times T\) matrices with zero mean, unit variance IID entries and such that \(\mathbb{E}[X_{it} Y_{jt}]=c \delta_{i,j}\). The limit \(c=1\) corresponds to the Mar...

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Bibliographic Details

Published in:	arXiv.org
Main Authors:	Bouchaud, Jean-Philippe, Potters, Marc
Format:	Paper
Language:	English
Published:	Ithaca Cornell University Library, arXiv.org 20.09.2020
Subjects:	Cubic equations Eigenvalues
ISSN:	2331-8422
Online Access:	Get full text
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