On the condensed density of the generalized eigenvalues of pencils of Hankel Gaussian random matrices and applications

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Barone, Piero
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Abstract
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Pencils of Hankel matrices whose elements have a joint Gaussian distribution with nonzero mean and not identical covariance are considered. An approximation to the distribution of the squared modulus of their determinant is computed which allows to get a closed form approximation of the condensed density of the generalized eigenvalues of the pencils. Implications of this result for solving several moments problems are discussed and some numerical examples are provided.
Comment: 30 pages, 16 figures, better approximations provided
Keywords
Mathematics - Statistics Theory, Mathematics - Probability, Statistics - Computation, 15A52, 44A60
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