Asymptotic Coincidence of the Statistics for Degenerate and Non-Degenerate Correlated Real Wishart Ensembles (1504.03177v3)

Abstract: The correlated Wishart model provides the standard benchmark when analyzing time series of any kind. Unfortunately, the real case, which is the most relevant one in applications, poses serious challenges for analytical calculations. Often these challenges are due to square root singularities which cannot be handled using common random matrix techniques. We present a new way to tackle this issue. Using supersymmetry, we carry out an anlaytical study which we support by numerical simulations. For large but finite matrix dimensions, we show that statistical properties of the fully correlated real Wishart model generically approach those of a correlated real Wishart model with doubled matrix dimensions and doubly degenerate empirical eigenvalues. This holds for the local and global spectral statistics. With Monte Carlo simulations we show that this is even approximately true for small matrix dimensions. We explicitly investigate the $k$-point correlation function as well as the distribution of the largest eigenvalue for which we find a surprisingly compact formula in the doubly degenerate case. Moreover we show that on the local scale the $k$-point correlation function exhibits the sine and the Airy kernel in the bulk and at the soft edges, respectively. We also address the positions and the fluctuations of the possible outliers in the data.