Eigenvalue of random matrix

THEOREM 1
∫ V m , n H 1 ′ d H 1 = 2 m π m n / 2 Γ m ( 1 2 n ) \int_{{\rm {\bf V_{m,n}}} } {{\rm {\bf H_1'dH_1}}} = \frac{2^m\pi ^{mn / 2}}{\Gamma _m (\frac{1}{2}n)} Vm,nH1dH1=Γm(21n)2mπmn/2
Here
Γ m ( n 2 ) = π m ( m − 1 ) / 4 ∏ i = 1 m Γ [ n − i + 1 2 ] \Gamma_m(\frac{n}{2})=\pi^{m(m-1)/4} \prod_{i=1}^m\Gamma \left [\frac{n-i+1}{2}\right ] Γm(2n)=πm(m1)/4i=1mΓ[2ni+1]
THEOREM 1C (for complex)
∫ V m , n H 1 H d H 1 = 2 m π m n Γ ~ m ( n ) \int_{{\rm {\bf V_{m,n}}} } {{\rm {\bf H_1^HdH_1}}} = \frac{2^m\pi ^{mn}}{\widetilde{\Gamma}_m (n)} Vm,nH1HdH1=Γ m(n)2mπmn
Here
Γ ~ m ( n ) = π m ( m − 1 ) / 2 ∏ i = 1 m Γ [ n − i + 1 ] \widetilde{\Gamma}_m(n)=\pi^{m(m-1)/2} \prod_{i=1}^m\Gamma \left [{n-i+1}\right ] Γ m(n)=πm(m1)/2i=1mΓ[ni+1]
For a Wishart matrix A A A, there is an orthogonal matrix H H H and a diagonal matrix L L L,
A = H L H ′ ⇒ d A = d H L H ′ + H d L H ′ + H L d H ′ ⇒ H ′ d A H = H ′ d H L + d L + L d H ′ H = H ′ d H L − L H ′ d H + d L \begin{aligned} &A=HLH'\Rightarrow dA=dHLH'+HdLH'+HLdH'\\ &\Rightarrow H'dAH=H'dHL+dL+LdH'H=H'dHL-LH'dH+dL \end{aligned} A=HLHdA=dHLH+HdLH+HLdHHdAH=HdHL+dL+LdHH=HdHLLHdH+dL
for real matrix
( d A ) = ⋀ i < j h j ′ d h i ∏ i < j ( l i − l j ) ⋀ i = 1 m d l i = ( H ′ d H ) ∏ i < j ( l i − l j ) ( d L ) (dA)=\bigwedge_{i<j} h_j'dh_i\prod_{i<j}(l_i-l_j)\bigwedge_{i=1}^mdl_i=(H'dH)\prod_{i<j}(l_i-l_j)(dL) (dA)=i<jhjdhii<j(lilj)i=1mdli=(HdH)i<j(lilj)(dL)
for
H ′ H = I ⇒ d H ′ H = − H ′ d H H'H=I\Rightarrow dH'H=-H'dH HH=IdHH=HdH
so
H ′ d H L − L H ′ d H = [ 0 ∗ ⋯ ∗ ∗ h 2 ′ d h 1 ( l 1 − l 2 ) 0 ⋯ ∗ ∗ h 3 ′ d h 1 ( l 1 − l 3 ) h 3 ′ d h 2 ( l 2 − l 3 ) + ∗ ⋯ ∗ ∗ ⋮ ⋮ ⋮ h m ′ d h 1 ( l 1 − l m ) h m ′ d h 2 ( l 2 − l m ) + ∗ h m ′ d h m − 1 ( l m − 1 − l m ) + ∗ 0 ] \begin{aligned} &H' dHL-LH' dH\\&=\begin{bmatrix} 0 & * & \cdots & *& *\\ h_2'dh_1(l_{1}-l_{2}) & 0 & \cdots & *& *\\ h_3'dh_1(l_{1}-l_{3}) & h_3'dh_2(l_{2}-l_{3})+* & \cdots & *& *\\ \vdots & \vdots & &\vdots\\ h_m'dh_1(l_{1}-l_{m}) & h_m'dh_2(l_{2}-l_{m})+* & &h_m'dh_{m-1}(l_{m-1}-l_m)+*& 0 \end{bmatrix} \end{aligned} HdHLLHdH=0h2dh1(l1l2)h3dh1(l1l3)hmdh1(l1lm)0h3dh2(l2l3)+hmdh2(l2lm)+hmdhm1(lm1lm)+0
for complex matrix, considering the real part and the imagine part of h j ′ d h i , j > i h_j'dh_i, j>i hjdhi,j>i, contribute a ( l i − l j ) (l_i-l_j) (lilj)
( d A ) = ⋀ i < j h j ′ d h i ∏ i < j ( l i − l j ) 2 ⋀ i = 1 m d l i = ( H ′ d H ) ∏ i < j ( l i − l j ) 2 ( d L ) (dA)=\bigwedge_{i<j} h_j'dh_i\prod_{i<j}(l_i-l_j)^2\bigwedge_{i=1}^mdl_i=(H'dH)\prod_{i<j}(l_i-l_j)^2(dL) (dA)=i<jhjdhii<j(lilj)2i=1mdli=(HdH)i<j(lilj)2(dL)

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