Speaker
Yuriy Stepanov
Description
We show that correlation matrices with particular average and variance of the correlation coefficients have a notably restricted spectral structure. Applying geometric methods, we derive lower bounds for the largest eigenvalue and the alignment of the corresponding eigenvector. We explain how and to which extent, a distinctly large eigenvalue and an approximately diagonal eigenvector generically occur for specific correlation matrices independently of the correlation matrix dimension.
Primary author
Co-authors
Hendrik Herrmann
(Department of Mathematics, Wuppertal University)
Thomas Guhr
(Faculty of Physics, University of Duisburg-Essen)
