Numerically Stable Evaluation of Moments of Random Gram Matrices With Applications
Type
ArticleKAUST Department
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) DivisionElectrical Engineering Program
Date
2017-07-31Preprint Posting Date
2017-01-08Online Publication Date
2017-07-31Print Publication Date
2017-09Permanent link to this record
http://hdl.handle.net/10754/625287
Metadata
Show full item recordAbstract
This paper focuses on the computation of the positive moments of one-side correlated random Gram matrices. Closed-form expressions for the moments can be obtained easily, but numerical evaluation thereof is prone to numerical stability, especially in high-dimensional settings. This letter provides a numerically stable method that efficiently computes the positive moments in closed-form. The developed expressions are more accurate and can lead to higher accuracy levels when fed to moment based-approaches. As an application, we show how the obtained moments can be used to approximate the marginal distribution of the eigenvalues of random Gram matrices.Citation
Elkhalil K, Kammoun A, Al-Naffouri TY, Alouini M-S (2017) Numerically Stable Evaluation of Moments of Random Gram Matrices With Applications. IEEE Signal Processing Letters 24: 1353–1357. Available: http://dx.doi.org/10.1109/LSP.2017.2731373.Sponsors
This work was funded by a CRG3 grant from the office of competitive research (OCRF) at KAUST.Journal
IEEE Signal Processing LettersarXiv
1701.02013Additional Links
http://ieeexplore.ieee.org/document/7994691/ae974a485f413a2113503eed53cd6c53
10.1109/LSP.2017.2731373