For Gaussian i.i.d. data, the singular-value spectrum of the empirical cross-covariance is governed by a cubic Stieltjes equation, with simplified edge formulas in several asymptotic regimes.
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Distribution of singular values in large sample cross-covariance matrices
For Gaussian i.i.d. data, the singular-value spectrum of the empirical cross-covariance is governed by a cubic Stieltjes equation, with simplified edge formulas in several asymptotic regimes.