On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications
type: Item
instance of: scholarly article
title: On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications
zbMATH Open document ID: 1251.15038
author: Piero Barone
published in: Journal of Multivariate Analysis
publication date: 2012-08-24T00:00:00Z
full work available at URL: https://arxiv.org/abs/0801.3352
Mathematics Subject Classification ID: 15B52
Mathematics Subject Classification ID: 62G07
Mathematics Subject Classification ID: 60B20
Mathematics Subject Classification ID: 15A18
Mathematics Subject Classification ID: 15A22
Mathematics Subject Classification ID: 65C50
zbMATH DE Number: 6071637
zbMATH Keywords: random determinants
zbMATH Keywords: complex exponentials
zbMATH Keywords: complex moments problem
zbMATH Keywords: logarithmic potentials
zbMATH Keywords: eigenvalues
zbMATH Keywords: pencil
zbMATH Keywords: Gaussian random matrices
zbMATH Keywords: Hankel matrices
zbMATH Keywords: numerical examples
MaRDI profile type: Publication
OpenAlex ID: W1999072147
arXiv ID: 0801.3352
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DOI: 10.1016/J.JMVA.2012.05.009
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review text: Let \({\mathbf G}\) be a \(p \times p\) random matrix with eigenvalues \(\{\xi_j, j = 1, \dots, p \}\) which form a set of exchangeable random variables. The marginal density \(h(z), ~z \in {\mathbb C}\), of these eigenvalues is called condensed density and represents the expected value of the random normalized counting measure on zeros of \({\mathbf G}\), i.~e., NEWLINE\[NEWLINEh(z) = \frac{1}{p}E \left[ \sum_{j=1}^{p} \delta(z - \xi_j)\right]. NEWLINE\]NEWLINE If a pencil \({\mathbf G} = ({\mathbf G}_1, {\mathbf G}_0)\) of random matrices is considered, the condensed density of its generalized eigenvalues can be computed using the logarithmic potential given by \(\frac{1}{p}E\{\text{log}(|\text{det}({\mathbf G}_1 - z {\mathbf G}_0)|^2) \}\).NEWLINENEWLINE In this paper, a method to estimate the condensed density of the generalized eigenvalues of a pencil \({\mathbf G} = ({\mathbf G}_1, {\mathbf G}_0)\) of Gaussian random matrices is proposed. Within this method the solution of the complex exponentials approximation problem (CEAP) is used. A nonlinear transformation of the pencil is also considered which allows to compute in closed form the expectation evaluation value to the joint probability measure of the elements of the matrices \(({\mathbf G}_1, {\mathbf G}_0)\). In the CEAP case the computational problems can be reduced and \(h(z)\) can be smoothed to some extent acting on a parameter of the approximant. The case with Hankel matrices is discussed from the computational point of view and numerical examples are given.
description: scientific article; zbMATH DE number 6071637