Spectral density of the non-central correlated Wishart ensembles
Abstract
Wishart ensembles of random matrix theory have been useful in modeling positive definite matrices encountered in classical and quantum chaotic systems. We consider nonzero means for the entries of the constituting matrix A which defines the correlated Wishart matrix as W = AA, and refer to the ensemble of such Wishart matrices as the non-central correlated Wishart ensemble (nc-CWE). We derive the Pastur self-consistent equation which describes the spectral density of nc-CWE at large matrix dimension.
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