Eigenvalue Distributions of Sums and Products of Large Random Matrices Via Incremental Matrix Expansions

DOI10.1109/TIT.2008.920221MaRDI QIDQ3604422zbMATHFDO

Authors Matthew J. M. Peacock, Iain B. Collings, Michael L. Honig

Publication date 24 February 2009

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cs/0511054

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Communication theory (94A05)

Abstract: This paper uses an incremental matrix expansion approach to derive asymptotic eigenvalue distributions (a.e.d.'s) of sums and products of large random matrices. We show that the result can be derived directly as a consequence of two common assumptions, and matches the results obtained from using R- and S-transforms in free probability theory. We also give a direct derivation of the a.e.d. of the sum of certain random matrices which are not free. This is used to determine the asymptotic signal-to-interference-ratio of a multiuser CDMA system with a minimum mean-square error linear receiver.

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(4)

• Distributed linear regression by averaging
• Stability of sums of operators
• On marginal distributions of the ordered eigenvalues of certain random matrices
• On the asymptotic eigenvalue distribution of concatenated vector-valued fading channels

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