PMID: 15244649Jul 13, 2004Paper

Eigenvalue density of correlated complex random Wishart matrices

Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
Steven H Simon, Aris L Moustakas

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.

References

Jan 15, 2000·Science·A L MoustakasS H Simon
Apr 24, 2002·Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics·A M Sengupta, P P Mitra
Jul 30, 2002·Physical Review Letters·J Tworzydło, C W J Beenakker
Aug 22, 2002·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Vasiliki PlerouH Eugene Stanley
Apr 12, 2003·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·S E Skipetrov

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Citations

Apr 8, 2010·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics· Vinayak, Akhilesh Pandey
Oct 19, 2013·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics· VinayakThomas H Seligman
Nov 26, 2013·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics· Vinayak
Dec 31, 2008·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Naoki KobayashiMakoto Katori
Jan 15, 2016·Physical Review Letters·Zhi-Cheng YangEduardo R Mucciolo
May 24, 2011·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Makiko Sato, Makoto Katori
Jul 30, 2011·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Karol A Penson, Karol Zyczkowski
Feb 7, 2012·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Makoto Katori
Aug 7, 2012·Physical Review Letters·I Neri, F L Metz
Sep 26, 2012·Physical Review Letters·Romain AllezAlice Guionnet
Aug 6, 2013·Physical Review Letters·C W J BeenakkerM Wimmer
Sep 17, 2013·Physical Review Letters·Tim Wirtz, Thomas Guhr
Aug 29, 2020·Physical Review Letters·Suhail Ahmad RatherArul Lakshminarayan
Dec 15, 2010·Philosophical Transactions. Series A, Mathematical, Physical, and Engineering Sciences·Marcos G E da Luz, Celia Anteneodo
Jan 24, 2015·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Paolo Barucca
Nov 7, 2014·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics· Vinayak
Nov 7, 2014·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics· Vinayak, Luis Benet
Jan 15, 2011·Physical Review Letters·Christian RecherThomas Guhr

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