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,nH1′dH1=Γm(21n)2mπmn/2
Here
Γ
m
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n
2
)
=
π
m
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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(m−1)/4i=1∏mΓ[2n−i+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
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m
−
1
)
/
2
∏
i
=
1
m
Γ
[
n
−
i
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1
]
\widetilde{\Gamma}_m(n)=\pi^{m(m-1)/2} \prod_{i=1}^m\Gamma \left [{n-i+1}\right ]
Γ
m(n)=πm(m−1)/2i=1∏mΓ[n−i+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=HLH′⇒dA=dHLH′+HdLH′+HLdH′⇒H′dAH=H′dHL+dL+LdH′H=H′dHL−LH′dH+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
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l
i
−
l
j
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(
d
L
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(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<j⋀hj′dhii<j∏(li−lj)i=1⋀mdli=(H′dH)i<j∏(li−lj)(dL)
for
H
′
H
=
I
⇒
d
H
′
H
=
−
H
′
d
H
H'H=I\Rightarrow dH'H=-H'dH
H′H=I⇒dH′H=−H′dH
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
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1
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l
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−
l
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+
∗
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}
H′dHL−LH′dH=⎣⎢⎢⎢⎢⎢⎡0h2′dh1(l1−l2)h3′dh1(l1−l3)⋮hm′dh1(l1−lm)∗0h3′dh2(l2−l3)+∗⋮hm′dh2(l2−lm)+∗⋯⋯⋯∗∗∗⋮hm′dhm−1(lm−1−lm)+∗∗∗∗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
hj′dhi,j>i, contribute a
(
l
i
−
l
j
)
(l_i-l_j)
(li−lj)
(
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<j⋀hj′dhii<j∏(li−lj)2i=1⋀mdli=(H′dH)i<j∏(li−lj)2(dL)
Eigenvalue of random matrix
最新推荐文章于 2023-06-08 09:24:34 发布