Triangular random matrices and biorthogonal ensembles

Dimitris Cheliotis

Statistics & Probability Letters, 2018, vol. 134, issue C, 36-44

Abstract: We study the singular values of certain triangular random matrices. When their elements are i.i.d. standard complex Gaussian random variables, the squares of the singular values form a biorthogonal ensemble, and with an appropriate change in the distribution of the diagonal elements, they give the biorthogonal Laguerre ensemble.

Keywords: Triangular random matrices; Singular values; Determinantal processes; Biorthogonal ensembles; DT-operators (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.10.010

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