Related papers: On the Anti-Wishart distribution

Matrix variate beta (MVB) distributions are used in different fields of hypothesis testing, multivariate correlation analysis, zero regression, canonical correlation analysis and etc. In this approach a unified methodology is proposed to…

Let $A$ and $B$ be independent, central Wishart matrices in $p$ variables with common covariance and having $m$ and $n$ degrees of freedom, respectively. The distribution of the largest eigenvalue of $(A+B)^{-1}B$ has numerous applications…

We define a Wigner distribution function for a one-dimensional finite quantum system, in which the position and momentum operators have a finite (multiplicity-free) spectrum. The distribution function is thus defined on discrete…

In this paper, we consider the problem of deriving new eigenvalue distributions of real-valued Wishart matrices that arises in many scientific and engineering applications. The distributions are derived using the tools from the theory of…

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…

In this paper we develop a very general class of bivariate discrete distributions. The basic idea is very simple. The marginals are obtained by taking the random geometric sum of a baseline distribution function. The proposed class of…

We prove two universality results for random tensors of arbitrary rank D. We first prove that a random tensor whose entries are N^D independent, identically distributed, complex random variables converges in distribution in the large N…

This paper deals with the existence issue of non-central Wishart distributions which is a research topic initiated by Wishart (1928), and with important contributions by e.g., L\'evy (1937), Gindikin (1975), Shanbhag (1988), Peddada and…

Let $A$ be a real skew-symmetric Gaussian random matrix whose upper triangular elements are independently distributed according to the standard normal distribution. We provide the distribution of the largest singular value $\sigma_1$ of…

We study the level spacing distribution $P(S)$ of 2D real random matrices both symmetric as well as general, non-symmetric. In the general case we restrict ourselves to Gaussian distributed matrix elements, but different widths of the…

For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order $m$ is populated by all $m\times m$-minors of the Wishart matrix. Our…

Time evolution of the expectation values of various dynamical operators of the harmonic oscillator with dissipation is analitically obtained within the framework of the Lindblad's theory for open quantum systems. We deduce the density…

In statistics, assuming samples are independent is reasonable. However, this property can fail to hold for the features, a distinction that has led to several lines of work aiming to remove the latter assumption of independence present in…

We introduce an extension of the diagrammatic rules in random matrix theory and apply it to nonhermitean random matrix models using the 1/N approximation. A number of one- and two-point functions are evaluated on their holomorphic and…

We give an approximate formula for the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for the general dimension. The formula is expressed in terms of a definite integral with…

For a pair of coupled rectangular random matrices we consider the squared singular values of their product, which form a determinantal point process. We show that the limiting mean distribution of these squared singular values is described…

Applying the concept of matricial freeness which generalizes freeness in free probability, we have recently studied asymptotic joint distributions of symmetric blocks of Gaussian random matrices (Gaussian Symmetric Block Ensemble). This…

Consider a random sample $X_1 , X_2 , ..., X_n$ drawn independently and identically distributed from some known sampling distribution $P_X$. Let $X_{(1)} \le X_{(2)} \le ... \le X_{(n)}$ represent the order statistics of the sample. The…

The complex Wishart ensemble is the statistical ensemble of $M \times N$ complex random matrices with $M \geq N$ such that the real and imaginary parts of each element are given by independent standard normal variables. The Marcenko--Pastur…

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…