Eigenvalue density of correlated complex random Wishart matrices

被引：0
|
作者：
Simon, SH [1 ]
Moustakas, AL [1 ]
机构：
[1] Bell Labs, Lucent Technol, Murray Hill, NJ 07974 USA
来源：
PHYSICAL REVIEW E | 2004年 / 69卷 / 06期
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D O I：
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中图分类号：
O35 [流体力学]; O53 [等离子体物理学];
学科分类号：
070204 ; 080103 ; 080704 ;
摘要：
Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form (MM)-M-dagger where M is a complex matrix drawn from a normalized distribution P(M)similar toexp(-Tr{AMBM(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.
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页数：4
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