A General Framework for the Distribution of the Eigenvalues of Wishart Matrices.
Alberto ZanellaMarco ChianiMoe Z. WinPublished in: ICC (2008)
Keyphrases
- positive definite
- singular value decomposition
- symmetric matrices
- covariance matrix
- covariance matrices
- singular values
- eigenvalues and eigenvectors
- correlation matrix
- gaussian distribution
- eigendecomposition
- probability distribution
- uniformly distributed
- coefficient matrix
- random walk
- data distribution
- principal components