ON RANDOM CORRELATION-MATRICES
ON RANDOM CORRELATION-MATRICES
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DOI：
10.1137/0612019
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发表时间：
1991-04-01
影响因子：
1.5
通讯作者：
HOLMES, RB
中科院分区：
文献类型：
--
作者：
HOLMES, RB
本报告包含对随机相关矩阵的详细研究，包括代数、统计和历史背景。这种矩阵特别令人感兴趣，因为它们用来对信号处理算法的模拟测试的“平均信号”进行建模。后半部分从理论和经验两个方面广泛讨论了两种主要类型的随机相关矩阵的谱函数的统计行为。重点研究了特征值分布和条件数行为。算法测试的实际应用将在后续报告中描述。
This report contains a detailed study of random correlation matrices, including algebraic, statistical, and historical background. Such matrices are of particular interest because they serve to model "average signals" for simulation testing of signal processing algorithms. The statistical behavior of spectral functions of the two major types of random correlation matrices is extensively discussed in the latter half, from both theoretical and empirical aspects. The emphasis is on eigenvalue distribution and condition number behavior. Actual application to algorithm testing will be described in a subsequent report.