A note on functional averages over Gaussian ensembles

Abstract: In this work we find a new formula for matrix averages over the Gaussian ensemble. Let

be an

n i m e s n

Gaussian random matrix with complex, independent, and identically distributed entries of zero mean and unit variance. Given an

n i m e s n

positive definite matrix

, and a continuous function

f : R^{+} o R

such that

i n t_{0}^{i n f t y} e^{- a l p h a t} | f (t) |^{2}, d t < i n f t y

for every

a l p h a > 0

, we find a new formula for the expectation

. Taking

f (x) = l o g (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.

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