Spectral Density of Sample Covariance Matrices of Colored Noise
classification
⚛️ physics.data-an
physics.med-ph
keywords
noisecoloredcovariancedensitysignalspectralcelebrateddemonstrate
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We study the dependence of the spectral density of the covariance matrix ensemble on the power spectrum of the underlying multivariate signal. The white noise signal leads to the celebrated Marchenko-Pastur formula. We demonstrate results for some colored noise signals.
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