Eigenvalue density of correlated complex random Wishart matrices.
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) approximately exp(-Tr [AMB M dagger]) with A and B positive definite (square) matrices of arbitrary dimensio...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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2004
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| _version_ | 1826300886438117376 |
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| author | Simon, S Moustakas, A |
| author_facet | Simon, S Moustakas, A |
| author_sort | Simon, S |
| collection | OXFORD |
| description | 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) approximately exp(-Tr [AMB 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. |
| first_indexed | 2024-03-07T05:23:58Z |
| format | Journal article |
| id | oxford-uuid:dfe8fbaa-3411-40ea-8068-05bb67fa253e |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:23:58Z |
| publishDate | 2004 |
| record_format | dspace |
| spelling | oxford-uuid:dfe8fbaa-3411-40ea-8068-05bb67fa253e2022-03-27T09:42:43ZEigenvalue density of correlated complex random Wishart matrices.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:dfe8fbaa-3411-40ea-8068-05bb67fa253eEnglishSymplectic Elements at Oxford2004Simon, SMoustakas, AUsing 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) approximately exp(-Tr [AMB 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. |
| spellingShingle | Simon, S Moustakas, A Eigenvalue density of correlated complex random Wishart matrices. |
| title | Eigenvalue density of correlated complex random Wishart matrices. |
| title_full | Eigenvalue density of correlated complex random Wishart matrices. |
| title_fullStr | Eigenvalue density of correlated complex random Wishart matrices. |
| title_full_unstemmed | Eigenvalue density of correlated complex random Wishart matrices. |
| title_short | Eigenvalue density of correlated complex random Wishart matrices. |
| title_sort | eigenvalue density of correlated complex random wishart matrices |
| work_keys_str_mv | AT simons eigenvaluedensityofcorrelatedcomplexrandomwishartmatrices AT moustakasa eigenvaluedensityofcorrelatedcomplexrandomwishartmatrices |