On the Eigenvalue Density of Real and Complex Wishart Correlation Matrices - Mathematical PhysicsReport as inadecuate




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Abstract: Wishart correlation matrices are the standard model for the statisticalanalysis of time series. The ensemble averaged eigenvalue density is ofconsiderable practical and theoretical interest. For complex time series andcorrelation matrices, the eigenvalue density is known exactly. In the realcase, however, a fundamental mathematical obstacle made it forbidinglycomplicated to obtain exact results. We use the supersymmetry method to fullycircumvent this problem. We present an exact formula for the eigenvalue densityin the real case in terms of twofold integrals and finite sums.



Author: Christian Recher, Mario Kieburg, Thomas Guhr

Source: https://arxiv.org/







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