A CLT for information-theoretic statistics of Gram random matrices with a given variance profile (Q2378626)
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English | A CLT for information-theoretic statistics of Gram random matrices with a given variance profile |
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A CLT for information-theoretic statistics of Gram random matrices with a given variance profile (English)
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13 January 2009
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The authors consider an \(N\times n\) random matrix \(Y_n\) with entries given by \(Y_{ij}^n=\sigma_{ij}(n)X_{ij}^n/\sqrt{n}\), the \(X_{ij}^n\) being centered, independent and identically distributed random variables. They study the fluctuations of the random variable \[ \log\det (Y_nY^*_n+\rho I_N) \] and prove that under proper scaling, this random variable satisfies a central limit theorem. Such a central limit theorem is of interest in the field of wireless communications and random matrix theory.
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random matrices
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central limit theorem (CLT)
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empirical distribution of the singular values
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Stieltjes transform
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