On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications (Articolo in rivista)

Type
Label
  • On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications (Articolo in rivista) (literal)
Anno
  • 2012-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1016/j.jmva.2012.05.009 (literal)
Alternative label
  • Piero Barone (2012)
    On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications
    in Journal of Multivariate Analysis (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Piero Barone (literal)
Pagina inizio
  • 160 (literal)
Pagina fine
  • 173 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 111 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#pagineTotali
  • 14 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • IAC-CNR (literal)
Titolo
  • On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications (literal)
Abstract
  • Pencils of matrices whose elements have a joint noncentral Gaussian distribution with nonidentical covariance are considered. An approximation to the distribution of the squared modulus of their determinant is computed which allows to get a closed form approximation of the condensed density of the generalized eigenvalues of the pencils. Implications of this result for solving several moments problems are discussed and some numerical examples are provided. (literal)
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