On the Exact Distribution of the Scaled Largest Eigenvalue
Information Theory
2012-02-06 v1 math.IT
Abstract
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 been derived for the probability density function and the cumulative distribution function. The derived results involve only finite sums of polynomials. These results are obtained by taking advantage of properties of the Mellin transform for products of independent random variables.
Cite
@article{arxiv.1202.0754,
title = {On the Exact Distribution of the Scaled Largest Eigenvalue},
author = {Lu Wei and Olav Tirkkonen and Prathapasinghe Dharmawansa and Matthew McKay},
journal= {arXiv preprint arXiv:1202.0754},
year = {2012}
}
Comments
to appear in ICC 2012, accepted on 09.Jan.2012