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Eigenvalue density of correlated complex random Wishart matrices.

Abstract:
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) approximately exp(-Tr [AMB 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.
Publication status:
Published

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Publisher copy:
10.1103/physreve.69.065101

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Institution:
University of Oxford
Department:
Oxford, MPLS, Physics, Theoretical Physics
Role:
Author
Journal:
Physical review. E, Statistical, nonlinear, and soft matter physics
Volume:
69
Issue:
6 Pt 2
Pages:
065101
Publication date:
2004-06-05
DOI:
EISSN:
1550-2376
ISSN:
1539-3755
URN:
uuid:dfe8fbaa-3411-40ea-8068-05bb67fa253e
Source identifiers:
168171
Local pid:
pubs:168171
Language:
English

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