Limiting statistics of the largest and smallest eigenvalues in the correlated Wishart model
Limiting statistics of the largest and smallest eigenvalues in the correlated Wishart model
The correlated Wishart model provides a standard tool for the analysis of correlations in a rich variety of systems. Although much is known for complex correlation matrices, the empirically much more important real case still poses substantial challenges. We put forward a new approach, which maps arbitrary statistical quantities, depending …