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

DOI10.1016/J.JMVA.2016.03.003zbMATH Open1382.60013arXiv1306.6566OpenAlexW2307990760MaRDI QIDQ290695FDOQ290695

Prathapasinghe Dharmawansa

Publication date: 3 June 2016

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

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.

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

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zbMATH Keywords

eigenvaluesrandom matrixDemmel condition numberhypergeometric function of two matrix argumentsnon-central Wishart distribution

Mathematics Subject Classification ID

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

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Cited In (2)

• Extreme eigenvalue distributions of some complex correlated non-central Wishart and gamma-Wishart random matrices
• Extreme eigenvalue distributions of Jacobi ensembles: new exact representations, asymptotics and finite size corrections

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