On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications

@article{Barone2012OnTC,
  title={On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications},
  author={Piero Barone},
  journal={J. Multivariate Analysis},
  year={2012},
  volume={111},
  pages={160-173}
}
Pencils of Hankel matrices whose elements have a joint Gaussian distribution with nonzero mean and not identical 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… CONTINUE READING