Characteristic Polynomials of Sample Covariance Matrices
Probability
2009-06-16 v1
Abstract
We investigate the second-order correlation function of the characteristic polynomial of a sample covariance matrix. Starting from an explicit formula for the generating function, we re-obtain several well-known kernels from random matrix theory.
Keywords
Cite
@article{arxiv.0906.2763,
title = {Characteristic Polynomials of Sample Covariance Matrices},
author = {Holger Kösters},
journal= {arXiv preprint arXiv:0906.2763},
year = {2009}
}
Comments
26 pages