Title :
Free Probability, Sample Covariance Matrices, and Signal Processing
Author :
Rao, N. Raj ; Edelman, Alan
Author_Institution :
Dept. of Electr. Eng. & Comput. Sci., Massachussetts Inst. of Technol., Cambridge, MA
Abstract :
Free probability provides tools and techniques for analyzing the eigen-spectra of large Hermitian random matrices. These stochastic eigen-analysis techniques have been invaluable in providing insight into the structure of sample covariance matrices. We briefly outline how these techniques can be used to analytically predict the spectrum of large sample covariance matrices. An eigen-inference application is briefly discussed
Keywords :
Hermitian matrices; covariance matrices; eigenvalues and eigenfunctions; probability; signal processing; stochastic processes; Hermitian random matrices; eigen-inference application; eigen-spectra; free probability; sample covariance matrices; signal processing; stochastic eigen-analysis techniques; Algebra; Covariance matrix; Design engineering; Eigenvalues and eigenfunctions; Fourier transforms; Mathematics; Random variables; Signal processing; Stochastic processes; Symmetric matrices;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2006. ICASSP 2006 Proceedings. 2006 IEEE International Conference on
Conference_Location :
Toulouse
Print_ISBN :
1-4244-0469-X
DOI :
10.1109/ICASSP.2006.1661447
