Eigenvalue density of correlated complex random Wishart matrices.
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.
Simon
Steven H
SH
Lucent Technologies, Bell Labs, Murray Hill, New Jersey 07974, USA.
Moustakas
Aris L
AL