On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications
نویسنده
چکیده
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. Implications of this result for solving several moments problems are discussed and some numerical examples are provided.
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ورودعنوان ژورنال:
- J. Multivariate Analysis
دوره 111 شماره
صفحات -
تاریخ انتشار 2012