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JOURNALS // Problemy Peredachi Informatsii // Archive

Probl. Peredachi Inf., 1969 Volume 5, Issue 4, Pages 28–37 (Mi ppi1819)

On the Eigenvalues of Correlation Matrices

A. L. Genis


Abstract: We obtain upper and lower bounds for the maximum eigenvalue of the matrix $C_{n=1}(F)=\|c_{p,q};\,p,q=0,1,\dots,n\|$, with elements of the form
$$ c_{p,q}=c_{p-q}=\int_0^{2\pi}\exp\{i(p-q)\lambda\}F(d\lambda), $$
where $F(d\lambda)$ is the measure on the segment $[0,2\pi];$ for the sum of the $K<n+1$ largest eigenvalues we give an estimate for the number of eigenvalues with fixed sum. We give examples of the measure $F(d\lambda)$ to illustrate the equations obtained.

UDC: 519.28

Received: 20.07.1967
Revised: 18.04.1968


 English version:
Problems of Information Transmission, 1969, 5:4, 23–31

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© Steklov Math. Inst. of RAS, 2024