FAST TRACK COMMUNICATION: Integral formulae for the eigenvalue density of complex random matrices
Abstract
We show that the density of complex eigenvalues for unitary invariant ensembles of complex matrices A can be written as an integral over the eigenvalues gj of AA†. For the standard random matrix ensembles with matrix density of the form ∏jw(gj), this integral can be further reduced to a twofold integral involving the Christoffel-Darboux kernel for the orthogonal polynomials associated with weight w.
- Publication:
-
Journal of Physics A Mathematical General
- Pub Date:
- November 2009
- DOI:
- 10.1088/1751-8113/42/46/462002
- Bibcode:
- 2009JPhA...42T2002W