Some new results on the eigenvalues of complex non-central Wishart matrices with a rank-1 mean

DOI10.1016/J.JMVA.2016.03.003MaRDI QIDQ290695zbMATH OpenOpenAlexFDO

Authors Prathapasinghe Dharmawansa

Publication date 3 June 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.6566

zbMATH Keywords

Demmel condition numbereigenvalueshypergeometric function of two matrix argumentsnon-central Wishart distributionrandom matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15) Random matrices (probabilistic aspects) (60B20) Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10)

Abstract: Recently, D. Wang has devised a new contour integral based method to simplify certain matrix integrals. Capitalizing on that approach, we derive a new expression for the probability density function (p.d.f.) of the joint eigenvalues of a complex non-central Wishart matrix with a rank-1 mean. The resulting functional form in turn enables us to use powerful classical orthogonal polynomial techniques in solving three problems related to the non-central Wishart matrix. To be specific, for an $nimesn$ complex non-central Wishart matrix $mathbfW$ with $m$ degrees of freedom ($mgeqn$) and a rank-1 mean, we derive a new expression for the cumulative distribution function (c.d.f.) of the minimum eigenvalue ($lambd{a}_{min}$). The c.d.f. is expressed as the determinant of a square matrix, the size of which depends only on the difference $m-n$. This further facilitates the analysis of the microscopic limit for the minimum eigenvalue which takes the form of the determinant of a square matrix of size $m-n$ with the Bessel kernel. We also develop a moment generating function based approach to derive the p.d.f. of the random variable $fracexttr(mathbfW)lambd{a}_{min}$, where $exttr(cdot)$ denotes the trace of a square matrix. This random quantity is of great importance in the so-called smoothed analysis of Demmel condition number. Finally, we find the average of the reciprocal of the characteristic polynomial $det[zmathbf{I}_n+mathbfW],;|argz|<pi$, where $mathbf{I}_n$ and $det[cdot]$ denote the identity matrix of size $n$ and the determinant, respectively.

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Cited in

(4)

• Extreme eigenvalue distributions of Jacobi ensembles: new exact representations, asymptotics and finite size corrections
• A unified complex noncentral Wishart type distribution inspired by massive MIMO systems
• Noncentral complex Wishart matrices: Moments and correlation of minors
• Extreme eigenvalue distributions of some complex correlated non-central Wishart and gamma-Wishart random matrices

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