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Title:
New and Exact Results for the Real, Correlated Wishart Model
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Abstract:
The correlated Wishart model plays a prominent role when analyzing time series of a large variety of systems in the natural sciences, but also in climate, medicine, tele communication and finance. There are many connections to other random matrix models, particularly in the context of Quantum Chromodynamics. Many explicit calculations require harmonic analysis and group integrals. While the complex case is often tractable, the real case poses severe problems, because a result analogous to the Harish-Chandra-Itzykson-Zuber integral is missing. Some recent results will be presented in which this problem could be outmanouvered or considerably simplified by exact maps on equivalent matrix models.
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