On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications

DOI10.1016/J.JMVA.2012.05.009zbMATH Open1251.15038arXiv0801.3352OpenAlexW1999072147MaRDI QIDQ444965FDOQ444965

Authors: Piero Barone 

Publication date: 24 August 2012

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

Abstract: Pencils of Hankel matrices whose elements have a joint Gaussian distribution with nonzero mean and not identical covariance are considered. An approximation to the distribution of the squared modulus of their determinant is computed which allows to get a closed form approximation of the condensed density of the generalized eigenvalues of the pencils. Implications of this result for solving several moments problems are discussed and some numerical examples are provided.

Full work available at URL: https://arxiv.org/abs/0801.3352

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zbMATH Keywords

eigenvaluesnumerical exampleslogarithmic potentialsHankel matricespencilGaussian random matricescomplex exponentialscomplex moments problemrandom determinants

Mathematics Subject Classification ID

Density estimation (62G07) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Matrix pencils (15A22)

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Cited In (5)

• The limit empirical spectral distribution of complex matrix polynomials
• Kernel density estimation via diffusion and the complex exponentials approximation problem
• On the universality of the distribution of the generalized eigenvalues of a pencil of Hankel random matrices
• Bivariate one-sample optimal location test for spherical stable densities by Padé' methods
• On the condensed density of the zeros of the Cauchy transform of a complex atomic random measure with Gaussian moments

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