Complex Wishart matrix
= Complex Wishart matrix
{title2=$A=X^*X$}
A complex Wishart <matrix> is the Gram <matrix> of an $n$-by-$m$ <matrix> of independent centered complex <Gaussian random variables> with an indicated <variance> convention. It is a <positive semidefinite matrix>. In the standard convention with joint entry density proportional to $e^{-\operatorname{Tr}X^*X}$ and $n\geq m$, its <eigenvalue> density contains the weight $x^{n-m}e^{-x}$ and a squared <Vandermonde determinant>.