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Eigenvalue distributions for some correlated complex sample covariance matrices

Mathematical Physics 2009-11-11 v1 math.MP

Abstract

The distributions of the smallest and largest eigenvalues for the matrix product ZZZ^\dagger Z, where ZZ is an n×mn \times m complex Gaussian matrix with correlations both along rows and down columns, are expressed as m×mm \times m determinants. In the case of correlation along rows, these expressions are computationally more efficient than those involving sums over partitions and Schur polynomials reported recently for the same distributions.

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Cite

@article{arxiv.math-ph/0602001,
  title  = {Eigenvalue distributions for some correlated complex sample covariance matrices},
  author = {P. J. Forrester},
  journal= {arXiv preprint arXiv:math-ph/0602001},
  year   = {2009}
}

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11 pages