Eigenvalue Density of Correlated Complex Random Wishart Matrices
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Publication:6469098
DOI10.1103/PHYSREVE.69.065101arXivmath-ph/0401038WikidataQ80315202 ScholiaQ80315202MaRDI QIDQ6469098FDOQ6469098
Authors: Steven H. Simon, Aris L. Moustakas 
Publication date: 20 January 2004
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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