Abstract.
We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on analysis of behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marčenko-Pastur equation.
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Burda, Z., Görlich, A., Jurkiewicz, J. et al. Correlated Wishart matrices and critical horizons. Eur. Phys. J. B 49, 319–323 (2006). https://doi.org/10.1140/epjb/e2006-00079-y
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DOI: https://doi.org/10.1140/epjb/e2006-00079-y