Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues

  • Authors:

  • M. Y. Mo

  • Affiliations:

  • School of Mathematics, University of Bristol, Bristol BS8 1TW, UK

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2010

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Abstract

We considered NxN Wishart ensembles in the class W"C(@S"N,M) (complex Wishart matrices with M degrees of freedom and covariance matrix @S"N) such that N"0 eigenvalues of @S"N are 1 and N"1=N-N"0 of them are a. We studied the limit as M, N, N"0 and N"1 all go to infinity such that NM-c, N"1N-@b and 0