Eigenvalues and Condition Numbers of Complex Random Matrices
作者： T. Ratnarajah , R. Vaillancourt , M. Alvo
DOI: 10.1137/S089547980342204X
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摘要: In this paper, the distributions of largest and smallest eigenvalues complex Wishart matrices condition number Gaussian random are derived. These represented by hypergeometric functions matrix arguments, which can be expressed in terms zonal polynomials. Several results derived on polynomials used to evaluate these distributions. Finally, applications numerical analysis statistical hypothesis testing mentioned.
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