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Results tagged with random-matrices
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user 50742
Statistics of spectral properties of matrix-valued random variables.
6
votes
1
answer
1k
views
An integral with respect to the Haar measure on a unitary group
Let $A,D\in \mathbb{C}^{n \times n}$ be diagonal matrices. I need to calculate
$$\int_{U(n)}\det{(A-HDH^\dagger)}\,\mathrm{d}H$$
where $dH$ is the unit invariant Haar measure on the group of unitary …
- 141
1
vote
0
answers
255
views
Distribution of the Gram Matrices
Let $\mathbf{X}$ be an $m\times m$ random matrix full rank matrix, having the density function $f_{\mathbf{X}}(X)$. Also, let $\mathbf{W}$ be a deterministic $k\times m$ matrix of rank $k$ and $k<m$. …
- 141
2
votes
1
answer
365
views
Distribution of the Gram matrix
Let $\mathbf{X}$ be an $m\times k$ random matrix ($m>k$) of rank $k$, having the density function $f_\mathbf{X}(X)$. What is the distribution of $\mathbf{Y}=\mathbf{XX}^T$? Basically my question is ho …
- 141