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 , where is an complex Gaussian matrix with correlations both along rows and down columns, are expressed as 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.
Keywords
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}
}
Comments
11 pages