Related papers: Spectral statistics for the difference of two Wish…
The sum of independent Wishart matrices, taken from distributions with unequal covariance matrices, plays a crucial role in multivariate statistics, and has applications in the fields of quantitative finance and telecommunication. However,…
Data sets collected at different times and different observing points can possess correlations at different times $and$ at different positions. The doubly correlated Wishart model takes both into account. We calculate the eigenvalue density…
We compute the spectral statistics of the sum H of two independent complex Wishart matrices, each of which is correlated with a different covariance matrix. Random matrix theory enjoys many applications including sums and products of random…
Wishart correlation matrices are the standard model for the statistical analysis of time series. The ensemble averaged eigenvalue density is of considerable practical and theoretical interest. For complex time series and correlation…
In this work we study the spectral density of products of Wishart diluted random matrices of the form $X(1)\cdots X(M)(X(1)\cdots X(M))^T$ using the Edwards-Jones trick to map this problem into a system of interacting particles with random…
The eigenvalue densities of two random matrix ensembles, the Wigner Gaussian matrices and the Wishart covariant matrices, are decomposed in the contributions of each individual eigenvalue distribution. It is shown that the fluctuations of…
We present an analytic method to determine spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral…
We calculate the `one-point function', meaning the marginal probability density function for any single eigenvalue, of real and complex Wishart correlation matrices. No explicit expression had been obtained for the real case so far. We…
A Wishart matrix is said to be spiked when the underlying covariance matrix has a single eigenvalue $b$ different from unity. As $b$ increases through $b=2$, a gap forms from the largest eigenvalue to the rest of the spectrum, and with…
We use classical results from harmonic analysis on matrix spaces to investigate the relation between the joint density of the singular values and of the eigenvalues of complex random matrices which are bi-unitarily invariant (also known as…
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) ~ exp(-\Tr(A M B M^\dagger) with A and B…
We investigate random density matrices obtained by partial tracing larger random pure states. We show that there is a strong connection between these random density matrices and the Wishart ensemble of random matrix theory. We provide…
We derive concentration inequalities for the spectral measure of large random matrices, allowing for certain forms of dependence. Our main focus is on empirical covariance (Wishart) matrices, but general symmetric random matrices are also…
We present some new results on the joint distribution of an arbitrary subset of the ordered eigenvalues of complex Wishart, double Wishart, and Gaussian hermitian random matrices of finite dimensions, using a tensor pseudo-determinant…
The paper "An efficient sampling scheme for the eigenvalues of dual Wishart matrices", by I.~Santamar\'ia and V.~Elvira, [\emph{IEEE Signal Processing Letters}, vol.~28, pp.~2177--2181, 2021] \cite{SE21}, poses the question of efficient…
We discuss an application of the random matrix theory in the context of estimating the bipartite entanglement of a quantum system. We discuss how the Wishart ensemble (the earliest studied random matrix ensemble) appears in this quantum…
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…
The eigenvalue statistics for complex $N \times N$ Wishart matrices $X_{r,s}^\dagger X_{r,s}$, where $ X_{r,s}$ is equal to the product of $r$ complex Gaussian matrices, and the inverse of $s$ complex Gaussian matrices, are considered. In…
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, using which the characteristic function of the product and…
A holonomic system for the probability density function of the largest eigenvalue of a non-central complex Wishart distribution with identity covariance matrix is derived. Furthermore a new determinantal formula for the probability density…