Joint Singular Value Distribution of Two Correlated Rectangular Gaussian Matrices and Its Application

Shuangquan Wang, Ali Abdi

Let $\mathbf{H}=(h_{ij})$ and $\mathbf{G}=(g_{ij})$ be two $m\times n$, $m\le n$, random matrices, each with i.i.d complex zero-mean unit-variance Gaussian entries, with correlati…