A note on functional averages over Gaussian ensembles (Q361607)

Summary: We find a new formula for matrix averages over the Gaussian ensemble. Let \(H\) be an \(n \times n\) Gaussian random matrix with complex, independent, and identically distributed entries of zero mean and unit variance. Given an \(n \times n\) positive definite matrix \(A\) and a continuous function \(f : \mathbb R^+ \to \mathbb R\) such that \(\int^\infty_0 e^{-\alpha t}|f(t)|^2dt < \infty\) for every \(\alpha > 0\), we find a new formula for the expectation \(\operatorname {E}[\text{Tr}(f(HAH^\ast))]\). Taking \(f(x) = \log(1 + x)\) gives another formula for the capacity of the MIMO communication channel, and taking \(f(x) = (1 + x)^{-1}\) gives the MMSE achieved by a linear receiver.