Euler characteristic heuristic for approximating the distribution of the largest eigenvalue of an orthogonally invariant random matrix

DOI10.1016/j.jspi.2006.04.019zbMath1368.60057MaRDI QIDQ947241

Akimichi Takemura, Satoshi Kuriki

Publication date: 29 September 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.04.019

zbMATH Keywords

random field; multivariate beta distribution; inverse Wishart distribution; Morse's theorem; tube method; wishart distribution

Mathematics Subject Classification ID

60G60: Random fields

62M40: Random fields; image analysis

15B52: Random matrices (algebraic aspects)

Related Items

The holonomic gradient method for the distribution function of the largest root of a Wishart matrix, The tube method for the moment index in projection pursuit, The volume-of-tube method for Gaussian random fields with inhomogeneous variance, Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix

Cites Work

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• Boundary corrections for the expected Euler characteristic of excursion sets of random fields, with an application to astrophysics
• Percentage points of the extreme roots of a Wishart matrix