Eigenvalue Density of Correlated Complex Random Wishart Matrices
Abstract
Using a character expansion method, we calculate exactly the eigenvalue density of random matrices of the form M M where M is a complex matrix drawn from a normalized distribution P(M) ~ exp(-(A M B M) 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.
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