All Questions
2 questions
5
votes
1
answer
2k
views
Distribution of eigenvalues of a Wishart matrix
Is there a known expression for the eigenvalue distribution of a matrix of the form
$$\sum_{i=1}^n k_ia_ia_i^T$$
where $a_i \in \mathcal{R}^m$, with $n > m$, $a_i \sim \mathcal{N}(0,\Sigma)$ and $...
2
votes
2
answers
383
views
Estimating a Selberg-type integral (or a Fredholm determinant)
I am concerned with the asymptotical behavior of integrals like this for large $n$
$$\frac{1}{n!}\intop_{\Omega}\prod_{1\leq i<j\leq n}(x_{j}-x_{i})^{2}\,\prod_{j=1}^{n}e^{-x_{j}^{2}}dx_{j},$$
...