Invariant $\beta$-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law
Romain Allez 1, Jean-Philippe Bouchaud 2, Satya N. Majumdar 3, Pierpaolo Vivo 3 Journal of Physics A: Mathematical and Theoretical 46 (2013) 015001 We construct a diffusive matrix model for the $\beta$-Wishart (or Laguerre) ensemble for general continuous $\beta\in [0,2]$, which preserves invariance under the orthogonal/unitary group transformation. Scaling the Dyson index $\beta$ with the largest size $M$ of the data matrix as […]