Optimization of the Wishart joint eigenvalue probability density distribution based on the Vandermonde determinant

DOI10.1007/978-3-030-41850-2_34zbMath1473.15046OpenAlexW2984773258MaRDI QIDQ1980753

Asaph Keikara Muhumuza, Jonas Österberg, Karl Lundengård, Godwin Kakuba, John Magero Mango, Sergei D. Silvestrov

Publication date: 8 September 2021

Full work available at URL: https://doi.org/10.1007/978-3-030-41850-2_34

zbMATH Keywords

Vandermonde determinantWishart ensemblesGaussian ensemblesorthogonal ensembleseigenvalue density optimization

Mathematics Subject Classification ID

Determinants, permanents, traces, other special matrix functions (15A15) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Random matrices (algebraic aspects) (15B52)

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Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics ⋮ Extreme points of the Vandermonde determinant and Wishart ensemble on symmetric cones

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