A note on the limiting mean distribution of singular values for products of two Wishart random matrices
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Publication:5407658
DOI10.1063/1.4818978zbMATH Open1305.15080arXiv1305.0726OpenAlexW3105098520MaRDI QIDQ5407658FDOQ5407658
Authors: Lun Zhang 
Publication date: 7 April 2014
Published in: Journal of Mathematical Physics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1305.0726
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Cited In (18)
- Distribution of the product of a singular Wishart matrix and a normal vector
- Singular values of products of Ginibre random matrices, multiple orthogonal polynomials and hard edge scaling limits
- Asymptotics for characteristic polynomials of Wishart type products of complex Gaussian and truncated unitary random matrices
- Multiplicative convolution of real asymmetric and real anti-symmetric matrices
- Permanental processes from products of complex and quaternionic induced Ginibre ensembles
- Orthogonal polynomials relative to weight functions of Prudnikov type
- Singular value correlation functions for products of Wishart random matrices
- Relating the Bures measure to the Cauchy two-matrix model
- Local universality in biorthogonal Laguerre ensembles
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- Raney distributions and random matrix theory
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- Universality conjecture and results for a model of several coupled positive-definite matrices
- Distribution of linear statistics of singular values of the product of random matrices
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- On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
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