On the probability that all eigenvalues of Gaussian, Wishart, and double Wishart random matrices lie within an interval

We derive the probability that all eigenvalues of a random matrix $\bf M$ lie within an arbitrary interval $[a,b]$, $\psi(a,b)\triangleq\Pr\{a\leq\lambda_{\min}({\bf M}), \lambda_{\max}({\bf M})\leq b\}$, when $\bf M$ is a real or complex finite dimensional Wishart, double Wishart, or Gaussian symmetric/Hermitian matrix. We give efficient recursive formulas allowing the exact evaluation of $\psi(a,b)$ for Wishart matrices, even with large number of variates and degrees of freedom. We also prove that the probability that all eigenvalues are within the limiting spectral support (given by the Mar{\v{c}}enko-Pastur or the semicircle laws) tends for large dimensions to the universal values $0.6921$ and $0.9397$ for the real and complex cases, respectively. Applications include improved bounds for the probability that a Gaussian measurement matrix has a given restricted isometry constant in compressed sensing.Comment: IEEE Transactions on Information Theory, 201

Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance

Let ${\bf X, Y}$ denote two independent real Gaussian $\mathsf{p} \times \mathsf{m}$ and $\mathsf{p} \times \mathsf{n}$ matrices with $\mathsf{m}, \mathsf{n} \geq \mathsf{p}$, each constituted by zero mean i.i.d. columns with common covariance. The Roy's largest root criterion, used in multivariate analysis of variance (MANOVA), is based on the statistic of the largest eigenvalue, $\Theta_1$, of ${\bf{(A+B)}}^{-1} \bf{B}$, where ${\bf A =X X}^T$ and ${\bf B =Y Y}^T$ are independent central Wishart matrices. We derive a new expression and efficient recursive formulas for the exact distribution of $\Theta_1$. The expression can be easily calculated even for large parameters, eliminating the need of pre-calculated tables for the application of the Roy's test

Improving the Forward Link of the Future Airport Data Link by Space-Time Coding

In the context of the future communication system for the airport surface operations (AeroMACS), we investigate the 2×1 Alamouti scheme applied to the 802.16e standard for improving the performance of the forward link. We propose a novel space-time coding realization which preserves the original frame structure of WiMAX, analyzing its performance in a realistic airport environment. Simulation results show the performance of the system over different scenarios

Construction of Near-Optimum Burst Erasure Correcting Low-Density Parity-Check Codes

In this paper, a simple, general-purpose and effective tool for the design of low-density parity-check (LDPC) codes for iterative correction of bursts of erasures is presented. The design method consists in starting from the parity-check matrix of an LDPC code and developing an optimized parity-check matrix, with the same performance on the memory-less erasure channel, and suitable also for the iterative correction of single bursts of erasures. The parity-check matrix optimization is performed by an algorithm called pivot searching and swapping (PSS) algorithm, which executes permutations of carefully chosen columns of the parity-check matrix, after a local analysis of particular variable nodes called stopping set pivots. This algorithm can be in principle applied to any LDPC code. If the input parity-check matrix is designed for achieving good performance on the memory-less erasure channel, then the code obtained after the application of the PSS algorithm provides good joint correction of independent erasures and single erasure bursts. Numerical results are provided in order to show the effectiveness of the PSS algorithm when applied to different categories of LDPC codes.Comment: 15 pages, 4 figures. IEEE Trans. on Communications, accepted (submitted in Feb. 2007

Limits on Sparse Data Acquisition: RIC Analysis of Finite Gaussian Matrices

One of the key issues in the acquisition of sparse data by means of compressed sensing (CS) is the design of the measurement matrix. Gaussian matrices have been proven to be information-theoretically optimal in terms of minimizing the required number of measurements for sparse recovery. In this paper we provide a new approach for the analysis of the restricted isometry constant (RIC) of finite dimensional Gaussian measurement matrices. The proposed method relies on the exact distributions of the extreme eigenvalues for Wishart matrices. First, we derive the probability that the restricted isometry property is satisfied for a given sufficient recovery condition on the RIC, and propose a probabilistic framework to study both the symmetric and asymmetric RICs. Then, we analyze the recovery of compressible signals in noise through the statistical characterization of stability and robustness. The presented framework determines limits on various sparse recovery algorithms for finite size problems. In particular, it provides a tight lower bound on the maximum sparsity order of the acquired data allowing signal recovery with a given target probability. Also, we derive simple approximations for the RICs based on the Tracy-Widom distribution.Comment: 11 pages, 6 figures, accepted for publication in IEEE transactions on information theor