English

Replica method for eigenvalues of real Wishart product matrices

Disordered Systems and Neural Networks 2023-01-24 v3 Probability

Abstract

We show how the replica method can be used to compute the asymptotic eigenvalue spectrum of a real Wishart product matrix. For unstructured factors, this provides a compact, elementary derivation of a polynomial condition on the Stieltjes transform first proved by M\"uller [IEEE Trans. Inf. Theory. 48, 2086-2091 (2002)]. We then show how this computation can be extended to ensembles where the factors are drawn from matrix Gaussian distributions with general correlation structure. For both unstructured and structured ensembles, we derive polynomial conditions on the average values of the minimum and maximum eigenvalues, which in the unstructured case match the results obtained by Akemann, Ipsen, and Kieburg [Phys. Rev. E 88, 052118 (2013)] for the complex Wishart product ensemble.

Keywords

Cite

@article{arxiv.2209.10499,
  title  = {Replica method for eigenvalues of real Wishart product matrices},
  author = {Jacob A. Zavatone-Veth and Cengiz Pehlevan},
  journal= {arXiv preprint arXiv:2209.10499},
  year   = {2023}
}

Comments

50 pages, 5 figures

R2 v1 2026-06-28T01:50:09.506Z