Abstract
It is shown that the density of the ratio of two random variables with the same
variance and joint Gaussian density satisfies a nonstationary diffusion equation. Implications of this
result for adaptive kernel density estimation of the condensed density of the generalized eigenvalues
of a random matrix pencil useful for solving the exponential analysis problem are discussed.
Anno
2012
Tipo pubblicazione
Altri Autori
Piero Barone
Editore
Society for Industrial and Applied Mathematics,
Rivista
SIAM journal on scientific computing (Print)