High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
We study the high-dimensional asymptotic regimes of correlated Wishart matrices $d^{-1}\mathcal{Y}\mathcal{Y}^T$, where $\mathcal{Y}$ is a $n\times d$ Gaussian random matrix with correlated and non-stationary entries. We prove that under different normalizations, two distinct regimes emerge as both $n$ and $d$ grow to infinity. The first regime is the one of …