R/eigenBoundRMT.R

In zlfccnu/econophysics: Functions for econophysics

#' calculate the eigenvalue distribution for a random purely random matix
#' @param L the length of the time series
#' @param N the number of the time series
#' @return a vector with the lower and upper bound
#' @export
eigenBoundRMT=function(Q=NULL,L,N,S){
  if(is.null(Q)){
    Q=L/N
  }
  return(c(S^2*(1+1/Q-2/sqrt(Q)),S^2*(1+1/Q+2/sqrt(Q))))
}