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Eigenvalue density of correlated complex random Wishart matrices
Steven H Simon1, Aris L Moustakas
1Lucent Technologies, Bell Labs, Murray Hill, New Jersey 07974, USA.
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) approximately exp(-Tr [AMB 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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