Phys. Rev. E 71, 026111 (2005) [11 pages]Spectral moments of correlated Wishart matricesReceived 5 June 2004; published 10 February 2005 We present an analytic method to determine the spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral moments and the eigenvalue densities of the covariance matrices and their estimators. The results can be used in practice to extract the information about genuine correlations from the given experimental realization of random matrices. © 2005 The American Physical Society URL:
http://link.aps.org/doi/10.1103/PhysRevE.71.026111
DOI:
10.1103/PhysRevE.71.026111
PACS:
02.50.−r, 95.75.Pq, 02.60.−x, 89.90.+n
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