On the universality of the probability distribution of the product B-1X of random matrices
Joshua Feinberg
Abstract
Consider random matrices A, of dimension m× (m+n), drawn from an ensemble with probability density f( AA), with f(x) a given appropriate function. Break A = (B,X) into an m× m block B and the complementary m× n block X, and define the random matrix Z=B-1X. We calculate the probability density function P(Z) of the random matrix Z and find that it is a universal function, independent of f(x). The universal probability distribution P(Z) is a spherically symmetric matrix-variate t-distribution. Universality of P(Z) is, essentially, a consequence of rotational invariance of the probability ensembles we study. As an application, we study the distribution of solutions of systems of linear equations with random coefficients, and extend a classic result due to Girko.
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