function f = wishartedf(c) %WISHARTEDF Density of eigenvalues of an infinite Wishart matrix. % THWISHART(C) returns the theoretical limiting density of the % eigenvalues of an infinite Wishart matrix with % C = N / M where N and M are the parameters of % the Wishart matrix. % % C is a positive real number less than 1. % F is a symbolic variable. % % References: % [1] Alan Edelman, Handout 3: Experiments with Classical % Matrix Ensembles, Fall 2004, % Course Notes 18.338. % [2] Alan Edelman, Random Matrix Eigenvalues. % [3] J. Wishart, The generalized product moment distribution in % samples from a normal multivariate population, % Biometrika, vol. 20-A, pages 32-52, 1928. % % Alan Edelman and Raj Rao, Sept. 2004. % $Revision: 1.0 $ $Date: 2004/09/11 20:49:20 $ syms f x a1 = (1-sqrt(c))^2; a2 = (1+sqrt(c))^2; f = sqrt((x-a1)*(a2-x))/(2*pi*x*c);