Numerically Stable Evaluation of Moments of Random Gram Matrices With Applications
KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Electrical Engineering Program
Preprint Posting Date2017-01-08
Online Publication Date2017-07-31
Print Publication Date2017-09
Permanent link to this recordhttp://hdl.handle.net/10754/625287
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AbstractThis 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.
CitationElkhalil 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.
SponsorsThis work was funded by a CRG3 grant from the office of competitive research (OCRF) at KAUST.
JournalIEEE Signal Processing Letters