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Eigenvalue distributions for some correlated complex sample covariance matrices
The distributions of the smallest and largest eigenvalues for the matrix
product , where is an complex Gaussian matrix
with correlations both along rows and down columns, are expressed as determinants. In the case of correlation along rows, these expressions are
computationally more efficient than those involving sums over partitions and
Schur polynomials reported recently for the same distributions.Comment: 11 page