Eigenvalue Density of Correlated Complex Random Wishart Matrices
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Publication:6469098
Abstract: Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form M^dagger M where M is a complex matrix drawn from a normalized distribution P(M) ~ exp(-Tr(A M B M^dagger) with A and B positive definite (square) matrices of arbitrary dimensions. Such so-called ``correlated Wishart matrices occur in many fields ranging from information theory to multivariate analysis.
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