Displaying similar documents to “On a zonal polynomial integral.”

Characteristic polynomials of sample covariance matrices: The non-square case

Holger Kösters (2010)

Open Mathematics

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We consider the sample covariance matrices of large data matrices which have i.i.d. complex matrix entries and which are non-square in the sense that the difference between the number of rows and the number of columns tends to infinity. We show that the second-order correlation function of the characteristic polynomial of the sample covariance matrix is asymptotically given by the sine kernel in the bulk of the spectrum and by the Airy kernel at the edge of the spectrum. Similar results...

A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix

Kryštof Eben (1994)

Mathematica Bohemica

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In a multivariate normal distribution, let the inverse of the covariance matrix be a band matrix. The distribution of the sufficient statistic for the covariance matrix is derived for this case. It is a generalization of the Wishart distribution. The distribution may be used for unbiased density estimation and construction of classification rules.

Matrix quadratic equations column/row reduced factorizations and an inertia theorem for matrix polynomials

Irina Karelin, Leonid Lerer (2001)

International Journal of Applied Mathematics and Computer Science

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It is shown that a certain Bezout operator provides a bijective correspondence between the solutions of the matrix quadratic equation and factorizatons of a certain matrix polynomial (which is a specification of a Popov-type function) into a product of row and column reduced polynomials. Special attention is paid to the symmetric case, i.e. to the Algebraic Riccati Equation. In particular, it is shown that extremal solutions of such equations correspond to spectral factorizations of...