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LSpice
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Eigenvalue distribution of random matrices

Given basis $M_1,M_2\dotsc,M_{d^2}$ in $\mathbb C^{d\times d}$, we consider $$\sum_i x_i M_i$$ for random variables $x_i$.

What is the eigenvalue distribution (the vector of the eigenvalues) of $\sum_i x_i M_i$, if $x_i$ are independent Gaussian $\mathcal{N}(\mu_i,\sigma_i^2)$? If $x_i$ are uniform distribution in $[a_i,b_i]$?

What is the distribution of $$\frac{\lVert\sum_i x_i M_i\rVert_1}{\lVert\sum_i x_i M_i\rVert_2}?$$

gondolf
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