Year: 2004
Type: article
Abstract: Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form ${\mathbf{M}}^{\ifmmode\dagger\else\textdagger\fi{}}\mathbf{M}$ where $\mathbf{M}$ is a complex matrix drawn from a normalized distribution $P(\mathbf{M})\ensuremath{\sim}\mathrm{exp}(\ensuremath{-}\text{Tr}{\mathbf{A}\mathbf{M}\mathbf{B}{\mathbf{M}}^{\ifmmode\dagger\else\textdagger\fi{}}})$ with $\mathbf{A}$ and $\mathbf{B}$ positive definite (square) matrices of arbitrary dimensions. Such so-called correlated Wishart matrices occur in many fields ranging from information theory to multivariate analysis.
Source: Physical Review E
Authors: Steven H. Simon, Aris L. Moustakas
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2078787338