Condition numbers of indefinite rank 2 ghost Wishart matrices

DOI10.1016/J.LAA.2015.05.027MaRDI QIDQ490903zbMATHOpenAlexFDO

Authors Ramis Movassagh, Alan Edelman

Publication date 21 August 2015

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.3062

zbMATH Keywords

random matrixcondition numbereigenvaluenumerical experimentWishart matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

Abstract: We define an indefinite Wishart matrix as a matrix of the form A=W^{T}WSigma, where Sigma is an indefinite diagonal matrix and W is a matrix of independent standard normals. We focus on the case where W is L by 2 which has engineering applications. We obtain the distribution of the ratio of the eigenvalues of A. This distribution can be "folded" to give the distribution of the condition number. We calculate formulas for W real (�eta=1), complex (�eta=2), quaternionic (�eta=4) or any ghost 0<�eta<infty. We then corroborate our work by comparing them against numerical experiments.

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Cited in

(1)

• Weighted Condition Number Distributions Emanating from Complex Noncentral Wishart Type Matrices

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