On Random Correlation Matrices

Abstract

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 latter half of this report extensively discusses the statistical behavior of spectral functions of the two major types of random correlation matrices from both theoretical and empirical aspects. Our emphasis then, is on eigenvalue distribution and condition number behavior. Actual application to algorithm testing will be described in a subsequent report. Keywords: Correlation matrix; Random correlation matrix; Random spectrum; Random Gram matrix; Condition number; Random eigenvalue; Spacing; Neyman's test.

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Document Details

Document Type
Technical Report
Publication Date
Oct 28, 1988
Accession Number
ADA202786

Entities

People

  • Robert B. Holmes

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Asymptotic Normality
  • Data Science
  • Eigenvalues
  • Equations
  • Information Science
  • Linear Algebra
  • Numbers
  • Order Statistics
  • Probability
  • Probability Distributions
  • Random Variables
  • Signal Processing
  • Simulations
  • Standards
  • Theorems

Readers

  • Approximation Theory.
  • Reinforced Composite Materials
  • Statistical inference.

Technology Areas

  • Space