Ju n 20 09 CHARACTERISTIC POLYNOMIALS OF SAMPLE COVARIANCE MATRICES

نویسنده

  • H. Kösters
چکیده

We investigate the second-order correlation function of the characteristic polynomial of a sample covariance matrix. Starting from an explicit formula for a generating function, we re-obtain several well-known kernels from random matrix theory.

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تاریخ انتشار 2009