Numerically Stable Evaluation of Moments of Random Gram Matrices With Applications

Khalil Elkhalil, Abla Kammoun, Tareq Y. Al-Naffouri, Mohamed-Slim Alouini

Research output: Contribution to journalArticlepeer-review

Abstract

This paper focuses on the computation of the positive moments of one-side correlated random Gram matrices. Closed-form expressions for the moments can be obtained easily, but numerical evaluation thereof is prone to numerical stability, especially in high-dimensional settings. This letter provides a numerically stable method that efficiently computes the positive moments in closed-form. The developed expressions are more accurate and can lead to higher accuracy levels when fed to moment based-approaches. As an application, we show how the obtained moments can be used to approximate the marginal distribution of the eigenvalues of random Gram matrices.
Original languageEnglish (US)
Pages (from-to)1353-1357
Number of pages5
JournalIEEE Signal Processing Letters
Volume24
Issue number9
DOIs
StatePublished - Jul 31 2017

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