A General Framework for the Distribution of the Eigenvalues of Wishart Matrices
Alberto Zanella, Marco Chiani, Moe Z. Win · 2008
This paper focuses on the stochastic analysis of Wishart matrices, which appear in many problems related to the performance analysis multiple-input-multiple-output (MIMO). We propose a general methodology to evaluate some multiple nested integrals of interest With this methodology we obtain a closed-form expression for the joint probability density function (pdf) of k consecutive ordered eigenvalues and, as a special case, the pdf of the lthordered eigenvalue of Wishart matrices.