Berlin 2015 – scientific programme

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DY: Fachverband Dynamik und Statistische Physik

DY 17: Modeling and Data Analysis

DY 17.8: Talk

Tuesday, March 17, 2015, 11:30–11:45, BH-N 333

Eigenvalue Density of the Doubly Correlated Wishart Model: Exact Results — •Daniel Waltner, Tim Wirtz, and Thomas Guhr — Fakultät für Physik, Universität Duisburg-Essen, Lotharstr. 1, 47048 Duisburg

Data sets collected at different times and different observing points can possess correlations at different times and at different positions. The doubly correlated Wishart model takes both into account. We calculate the eigenvalue density of the Wishart correlation matrices using supersymmetry. In the complex case we obtain a new closed form expression which we compare to previous results in the literature. In the much more complicated real case we derive an expression for the density in terms of a fourfold integral. Finally, we calculate the density in the limit of large correlation matrices.