The 70th anniversary of the distribution of random matrices: A survey

DOI10.1016/S0024-3795(01)00314-7zbMath1018.15022MaRDI QIDQ1855359

Ingram Olkin

Publication date: 5 February 2003

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

Jacobiandistributionsingular value decompositioncovariance matrixrandom matrixMoore-Penrose inversemultivariate analysismatrix factorizationmultivariate normal distributionLU decompositioneigenvalue decompositiontriangular factorizationJFM 54.0565.02

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factorization of matrices (15A23) Theory of matrix inversion and generalized inverses (15A09) History of mathematics in the 20th century (01A60) Characterization and structure theory of statistical distributions (62E10) Random matrices (algebraic aspects) (15B52) History of linear algebra (15-03)

Related Items (10)

Functions of singular random matrices with applications ⋮ A note about measures and Jacobians of singular random matrices ⋮ A real quaternion spherical ensemble of random matrices ⋮ A generalization of Bartlett's decomposition ⋮ An induced real quaternion spherical ensemble of random matrices ⋮ Exact formulas for the normalizing constants of Wishart distributions for graphical models ⋮ Octonions in random matrix theory ⋮ Probabilistic analysis of complex Gaussian elimination without pivoting ⋮ Singular value decomposition of large random matrices (for two-way classification of microarrays) ⋮ Some complex matrix-variate statistical distributions on rectangular matrices

Cites Work

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• The density of the inverse and pseudo-inverse of a random matrix
• The density of the Moore-Penrose inverse of a random matrix
• Jacobians of matrix transformations and induced functional equations
• The characteristic roots of matrices
• Probabilistic Analysis of Gaussian Elimination Without Pivoting
• When Does A ∗ A = B ∗ B and Why Does One Want to Know?
• Canonical Positive Definite Matrices Under Internal Linear Transformations
• Normal Multivariate Analysis and the Orthogonal Group
• On Multivariate Distribution Theory
• An algebraic derivation of the distribution of rectangular coordinates

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