On the distribution of an arbitrary subset of the eigenvalues for some finite dimensional random matrices-Reference-Cited by-同舟云学术

On the distribution of an arbitrary subset of the eigenvalues for some finite dimensional random matrices

Published:2019-12-12 Issue:01 Volume:09 Page:2040004
ISSN:2010-3263
Container-title:Random Matrices: Theory and Applications
language:en
Short-container-title:Random Matrices: Theory Appl.

Author:

Chiani Marco¹,Zanella Alberto²^ORCID

Affiliation:

1. DEI, University of Bologna, Viale Risorgimento 2, 40136 Bologna, Italy

2. National Research Council of Italy (CNR), IEIIT, Viale Risorgimento 2, 40136 Bologna, Italy

Abstract

We present some new results on the joint distribution of an arbitrary subset of the ordered eigenvalues of complex Wishart, double Wishart, and Gaussian hermitian random matrices of finite dimensions, using a tensor pseudo-determinant operator. Specifically, we derive compact expressions for the joint probability distribution function of the eigenvalues and the expectation of functions of the eigenvalues, including joint moments, for the case of both ordered and unordered eigenvalues.

Publisher

World Scientific Pub Co Pte Lt

Subject

Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Statistics and Probability,Algebra and Number Theory

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010326320400043

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