A note on the limiting mean distribution of singular values for products of two Wishart random matrices
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Publication:5407658
Abstract: The product of M complex random Gaussian matrices of size N has recently been studied by Akemann, Kieburg and Wei. They showed that, for fixed M and N, the joint probability distribution for the squared singular values of the product matrix forms a determinantal point process with a correlation kernel determined by certain biorthogonal polynomials that can be explicitly constructed. We find that, in the case M=2, the relevant biorthogonal polynomials are actually special cases of multiple orthogonal polynomials associated with Macdonald functions (modified Bessel functions of the second kind) which was first introduced by Van Assche and Yakubovich. With known results on asymptotic zero distribution of these polynomials and general theory on multiple orthogonal polynomial ensembles, it is then easy to obtain an explicit expression for the distribution of squared singular values for the product of two complex random Gaussian matrices in the limit of large matrix dimensions.
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Cited in
(18)- scientific article; zbMATH DE number 7379432 (Why is no real title available?)
- Asymptotics for characteristic polynomials of Wishart type products of complex Gaussian and truncated unitary random matrices
- Distribution of linear statistics of singular values of the product of random matrices
- On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
- Large \(n\) limit for the product of two coupled random matrices
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- Singular values of products of random matrices and polynomial ensembles
- Relating the Bures measure to the Cauchy two-matrix model
- Multiplicative convolution of real asymmetric and real anti-symmetric matrices
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