Eigenvalue distributions for some correlated complex sample covariance matrices

DOI10.1088/1751-8113/40/36/009zbMath1126.15028arXivmath-ph/0602001OpenAlexW2046176189MaRDI QIDQ5308771

Peter J. Forrester

Publication date: 8 October 2007

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math-ph/0602001

zbMATH Keywords

covariance matrixprobability density distributionmultivariate Gaussian distribution

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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