Spectral moments of correlated Wishart matrices.
We present an analytic method to determine the spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral moments and the eigenvalue densities of the covariance matrices and their estimators. The results can be used in practice to extract the information about genuine correlations from the given experimental realization of random matrices.
Burda
Zdzisław
Z
Mark Kac Center for Complex Systems Research and Marian Smoluchowski Institute of Physics, Jagellonian University, ul. Reymonta 4, 30-059 Kraków, Poland. burda@th.if.uj.edu.pl
Jurkiewicz
Jerzy
J
Wacław
Bartłomiej
B