On the Exact Distribution of the Scaled Largest Eigenvalue

Details On the Exact Distribution of the Scaled Largest Eigenvalue On the Exact Distribution of the Scaled Largest Eigenvalue

2012-02-03

arxiv.org/abs/1202.0754v1

Computer Science

Information Theory

to appear in ICC 2012, accepted on 09.Jan.2012

Scientific paper

In this paper we study the distribution of the scaled largest eigenvalue of complexWishart matrices, which has diverse applications both in statistics and wireless communications. Exact expressions, valid for any matrix dimensions, have been derived for the probability density function and the cumulative distribution function. The derived results involve only finite sums of polynomials. These results are obtained by taking advantage of properties of the Mellin transform for products of independent random variables.

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