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.
Status:
Bell Labs Technical Memo, 2004
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