Article ID Journal Published Year Pages File Type
7546887 Journal of Multivariate Analysis 2014 13 Pages PDF
Abstract
We consider random matrices that have invariance properties under the action of unitary groups (either a left-right invariance, or a conjugacy invariance), and we give formulas for moments in terms of functions of eigenvalues. Our main tool is the Weingarten calculus. As an application, we obtain new formulas for the pseudoinverse of Gaussian matrices and for the inverse of compound Wishart matrices.
Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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