Eigenvalue Density of Correlated Complex Random Wishart Matrices

RF_Doc.

Abstract: Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form M'M where M is a complex matrix drawn from a normalized distribution P(M)\propto exp(trace(AMBM')) with A and B positive definite (square) matrices of arbitrary dimensions and "'" represents Hermitian conjugation. Such so-called "correlated Wishart matrices" occur in many fields ranging from information theory to multivariate analysis.

wave1

Thank you very much,that's good.