The Haar measure and the generation of random unitary matrices
Paper in proceedings, 2004

This paper derives thc Haar measure over the set of unitary matrices. The Haar measure is essential when studying the statistical bchavior of complex sample covariance matrices in terms of their cigenvalucs and eigenvectors. The _. characterization is based on Murnaghans parameterization of unitary matrices which can be seen as a generalization of the representation of orthogonal matrices using Givens rotations. In addition to deriving the Haar measure, an efficient method to obtain samples from it is also presented.

Author

Magnus Lundberg

Chalmers, Signals and Systems, Signalbehandling och medicinsk teknik, Signal Processing

Lennart Svensson

Chalmers, Signals and Systems, Signalbehandling och medicinsk teknik, Signal Processing

2004 Sensor Array and Multichannel Signal Processing Workshop; Barcelona; Spain; 18 July 2004 through 21 July 2004

114-118

Subject Categories

Probability Theory and Statistics

ISBN

0780385454

More information

Created

10/8/2017