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arXiv · 1202.0754

On the Exact Distribution of the Scaled Largest Eigenvalue

Lu Wei·Olav Tirkkonen·Prathapasinghe Dharmawansa·Matthew McKay
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Abstract

In this paper we study the distribution of the scaled largest eigenvalue of complexWishart matrices, which has diverse applications both in statistics and wireless communications. Exact expressions, valid for any matrix dimensions, have been derived for the probability density function and the cumulative distribution function. The derived results involve only finite sums of polynomials. These results are obtained by taking advantage of properties of the Mellin transform for products of independent random variables.

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Lu Wei, Olav Tirkkonen, Prathapasinghe Dharmawansa, Matthew McKay. 2012-02-03. On the Exact Distribution of the Scaled Largest Eigenvalue. https://arxiv.org/abs/1202.0754

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