Spectral moments of correlated Wishart matrices
نویسندگان
چکیده
منابع مشابه
Moments of Minors of Wishart Matrices
Stanford University For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order m is populated by all m×mminors of the Wishart matrix. Our results yield first and second moments of the minors of the sample covariance matrix for multivariate normal observations. This work is motivated by...
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Let W be a correlated complex non-central Wishart matrix defined through W = XX, where X is n × m (n ≥ m) complex Gaussian with non-zero mean Υ and non-trivial covariance Σ. We derive exact expressions for the cumulative distribution functions (c.d.f.s) of the extreme eigenvalues (i.e., maximum and minimum) of W for some particular cases. These results are quite simple, involving rapidly conver...
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The Wishart model for real symmetric correlation matrices is defined as W=AA^{t}, where matrix A is usually a rectangular Gaussian random matrix and A^{t} is the transpose of A. Analogously, for nonsymmetric correlation matrices, a model may be defined for two statistically equivalent but different matrices A and B as AB^{t}. The corresponding Wishart model, thus, is defined as C=AB^{t}BA^{t}. ...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2005
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.71.026111