Characteristic Polynomials of Sample Covariance Matrices

2009/06/15 by Holger Kösters, Kösters, Holger
Mathematics · #15A52 #60B99 #62E20 #Advanced Algebra and Geometry #Advanced Combinatorial Mathematics #FOS: Mathematics #Probability (math.PR) #Random Matrices and Applications

paper · pdf · doi:10.48550/arxiv.0906.2763

openalex publication_date 2009/06/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Abstract

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

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