Journal article

Exact relation between singular value and eigenvalue statistics

M Kieburg, H Kösters

Random Matrices: Theory and Applications | World Scientific Pub Co Pte Lt | Published : 2016

Abstract

We use classical results from harmonic analysis on matrix spaces to investigate the relation between the joint densities of the singular values and the eigenvalues for complex random matrices which are bi-unitarily invariant (also known as isotropic or unitary rotation invariant). We prove that each of these joint densities determines the other one. Moreover, we construct an explicit formula relating both joint densities at finite matrix dimension. This relation covers probability densities as well as signed densities. With the help of this relation we derive general analytical relations among the corresponding kernels and biorthogonal functions for a specific class of polynomial ensembles. ..

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University of Melbourne Researchers

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