Eigenvalue Density of Correlated Complex Random Wishart Matrices
数学物理
2009-11-10 v1 介观与纳米尺度物理
高能物理 - 理论
math.MP
数据分析、统计与概率
摘要
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 positive definite (square) matrices of arbitrary dimensions. Such so-called ``correlated Wishart matrices'' occur in many fields ranging from information theory to multivariate analysis.
引用
@article{arxiv.math-ph/0401038,
title = {Eigenvalue Density of Correlated Complex Random Wishart Matrices},
author = {Steven H. Simon and Aris L. Moustakas},
journal= {arXiv preprint arXiv:math-ph/0401038},
year = {2009}
}