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Numerically Stable Evaluation of Moments of Random Gram Matrices with Applications

机译:基于maTLaB的随机Gram矩矩的数值稳定性评价   应用

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摘要

This paper is focuses on the computation of the positive moments of one-sidecorrelated random Gram matrices. Closed-form expressions for the moments can beobtained easily, but numerical evaluation thereof is prone to numericalstability, especially in high-dimensional settings. This letter provides anumerically stable method that efficiently computes the positive moments inclosed-form. The developed expressions are more accurate and can lead to higheraccuracy levels when fed to moment based-approaches. As an application, we showhow the obtained moments can be used to approximate the marginal distributionof the eigenvalues of random Gram matrices.
机译:本文着重于单边相关的随机革兰氏矩阵的正矩的计算。可以很容易地获得力矩的闭式表达式,但是其数值评估容易出现数值稳定性,尤其是在高维环境中。这封信提供了一种绝对稳定的方法,可以有效地计算出正力矩的封闭形式。当应用于基于矩的方法时,发达的表达式更加准确,并且可以导致更高的准确性级别。作为一种应用,我们展示了如何将获得的矩用于近似随机革兰氏矩阵特征值的边际分布。

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