This paper focuses on the stochastic analysis of Wishart matrices, which appear in many problems related to the performance analysis multiple-input- multiple-output (MIMO). We propose a general methodology to evaluate some multiple nested integrals of interest. With this methodology we obtain a closed-form expression for the joint probability density function (pdf) of k consecutive ordered eigenvalues and, as a special case, the pdf of the lth ordered eigenvalue of Wishart matrices.
A General Framework for the Distribution of the Eigenvalues of Wishart Matrices
A Zanella;M Chiani;
2008
Abstract
This paper focuses on the stochastic analysis of Wishart matrices, which appear in many problems related to the performance analysis multiple-input- multiple-output (MIMO). We propose a general methodology to evaluate some multiple nested integrals of interest. With this methodology we obtain a closed-form expression for the joint probability density function (pdf) of k consecutive ordered eigenvalues and, as a special case, the pdf of the lth ordered eigenvalue of Wishart matrices.File in questo prodotto:
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