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Correlated Wishart matrices and critical horizons

Author

Listed:
  • Z. Burda
  • A. Görlich
  • J. Jurkiewicz
  • B. Wacław

Abstract

We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of 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 Marčenko-Pastur equation. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Suggested Citation

  • Z. Burda & A. Görlich & J. Jurkiewicz & B. Wacław, 2006. "Correlated Wishart matrices and critical horizons," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 49(3), pages 319-323, February.
    • Handle: RePEc:spr:eurphb:v:49:y:2006:i:3:p:319-323
    DOI: 10.1140/epjb/e2006-00079-y
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    Cited by:

    1. Giacomo Livan & Jun-ichi Inoue & Enrico Scalas, 2012. "On the non-stationarity of financial time series: impact on optimal portfolio selection," Papers 1205.0877, arXiv.org, revised Jul 2012.

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