Numerically Stable Evaluation of Moments of Random Gram Matrices With Applications
Numerically Stable Evaluation of Moments of Random Gram Matrices With Applications
This letter 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 …