RMT / Marcenko–Pastur in One Lesson

What do the eigenvalues of an N × N correlation matrix always add up to?

• 1
• N
• N × T

An eigenvalue sits inside the range from λ− to λ+. What can you say about it?

• It is a weak but real factor
• It is indistinguishable from what pure noise would produce with this N and T
• It should be set to zero when cleaning