کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1146383 | 957507 | 2011 | 22 صفحه PDF | دانلود رایگان |
Let W be a correlated complex non-central Wishart matrix defined through W=XHX, where X is an n×m(n≥m) complex Gaussian with non-zero mean Υ and non-trivial covariance Σ. We derive exact expressions for the cumulative distribution functions (c.d.f.s) of the extreme eigenvalues (i.e., maximum and minimum) of W for some particular cases. These results are quite simple, involving rapidly converging infinite series, and apply for the practically important case where Υ has rank one. We also derive analogous results for a certain class of gamma-Wishart random matrices, for which ΥHΥ follows a matrix-variate gamma distribution. The eigenvalue distributions in this paper have various applications to wireless communication systems, and arise in other fields such as econometrics, statistical physics, and multivariate statistics.
Journal: Journal of Multivariate Analysis - Volume 102, Issue 4, April 2011, Pages 847–868