On the condensed density of the generalized eigenvalues of pencils of Hankel Gaussian random matrices and applications

Details On the condensed density of the generalized eigenvalues of pencils of Hankel Gaussian random matrices and applications On the condensed density of the generalized eigenvalues of pencils of Hankel Gaussian random matrices and applications

2008-01-22

arxiv.org/abs/0801.3352v2

Mathematics

Statistics Theory

30 pages, 16 figures, better approximations provided

Scientific paper

Pencils of Hankel matrices whose elements have a joint Gaussian distribution with nonzero mean and not identical covariance are considered. An approximation to the distribution of the squared modulus of their determinant is computed which allows to get a closed form approximation of the condensed density of the generalized eigenvalues of the pencils. Implications of this result for solving several moments problems are discussed and some numerical examples are provided.

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