Eigenvalue Density of Correlated Complex Random Wishart Matrices

Details Eigenvalue Density of Correlated Complex Random Wishart Matrices Eigenvalue Density of Correlated Complex Random Wishart Matrices

2004-01-20

arxiv.org/abs/math-ph/0401038v1

Phys.Rev. E69 (2004) 065101

Physics

Mathematical Physics

Scientific paper

10.1103/PhysRevE.69.065101

Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form M^\dagger M where M is a complex matrix drawn from a normalized distribution P(M) ~ exp(-\Tr(A M B M^\dagger) with A and B positive definite (square) matrices of arbitrary dimensions. Such so-called ``correlated Wishart matrices'' occur in many fields ranging from information theory to multivariate analysis.

Affiliated with

Also associated with

No associations

Rating

Eigenvalue Density of Correlated Complex Random Wishart Matrices does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Eigenvalue Density of Correlated Complex Random Wishart Matrices, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Eigenvalue Density of Correlated Complex Random Wishart Matrices will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-641756