Joint Singular Value Distribution of Two Correlated Rectangular Gaussian Matrices and Its Application

  • Authors:
  • Shuangquan Wang;Ali Abdi

  • Affiliations:
  • -;-

  • Venue:
  • SIAM Journal on Matrix Analysis and Applications
  • Year:
  • 2007

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Abstract

Let $\mathbf{H}=(h_{ij})$ and $\mathbf{G}=(g_{ij})$ be two $m\times n$, $m\leq n$, rectangular random matrices, each with independently and identically distributed complex zero-mean unit-variance Gaussian entries, with correlation between any two elements given by $\mathbb{E}[h_{ij}g_{pq}^\star]=\rho\,\delta_{ip} \delta_{jq}$ such that $|\rho|