Spectral Properties of Generalized Correlation Matrices
Florent Benaych-Georges, Tomas Espana
Published: 2025/9/29
Abstract
We introduce a family of coefficients that generalize the notion of correlation and explore their properties in the large dimensional multivariate case, showing that in the null case of uncorrelated variables, the spectrum of generalized correlation matrices is distributed according to an affine transformation of the Marchenko-Pastur law.