Correlated Wishart Matrices and Critical Horizons
Zdzislaw Burda, Andrzej Goerlich, Jerzy Jurkiewicz, Bartlomiej Waclaw
Abstract
We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on the analysis of the behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marcenko-Pastur equation.
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