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The correlated Wishart model provides the standard benchmark when analyzing time series of any kind.
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V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, T. Guhr, and H. E. Stanley: Random matrix approach to cross correlations in financial data
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R. Speicher: Free Probability Theory
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T. Wirtz and T. Guhr: Distribution of the smallest eigenvalue in the correlated Wishart model
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D. Waltner, T. Wirtz, and T. Guhr: Eigenvalue density of the doubly correlated Wishart model: Exact results
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2014
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2014
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2014
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T. Wirtz, M. Kieburg, and T. Guhr: Limiting statistics of the largest and smallest eigenvalues in the correlated Wishart model
2015
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2015
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2015
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