Characteristic Polynomials of Sample Covariance Matrices |
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| Authors: | H Kösters |
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| Institution: | (1) School of Mathematical Sciences, University of Nottingham, Nottingham, NG7 2RD, UK;(2) School of Mathematical Sciences, Queen Mary, University of London, London, E1 4NS, UK |
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| Abstract: | 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 reobtain several well-known kernels from random matrix theory. |
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