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Results tagged with random-matrices
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user 44474
Statistics of spectral properties of matrix-valued random variables.
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Eigen value distribution of autocorrelated Wishart matrix
Suppose the matrix W is constructed as $W=XX^T$ where $X_i(t) = \phi_i X_i(t-1) + a_i(t)$, and $a_i(t)$ ~ $N(0,1)$. I am interested in knowing the eigen value distribution of W. My google search on th …
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