Exact Statistical Characterization of 2\times2 Gram Matrices with Arbitrary Variance Profile

Authors Nicolas Auguin, David Morales-Jimenez, Matthew McKay

Publication date 12 April 2017

Abstract: This paper is concerned with the statistical properties of the Gram matrix

m a t h b f W = m a t h b f H m a t h b f H^{d} a g g e r

, where

m a t h b f H

is a

2 i m e s 2

complex central Gaussian matrix whose elements have arbitrary variances. With such arbitrary variance profile, this random matrix model fundamentally departs from classical Wishart models and presents a significant challenge as the classical analytical toolbox no longer directly applies. We derive new exact expressions for the distribution of

m a t h b f W

and that of its eigenvalues by means of an explicit parameterization of the group of unitary matrices. Our results yield remarkably simple expressions, which are further leveraged to study the outage data rate of a dual-antenna communication system under different variance profiles.

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