Direct methods for generating extreme characteristic roots of certain random matrices
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Publication:4743659
DOI10.1080/03610918208812273zbMath0506.65015OpenAlexW2075985557MaRDI QIDQ4743659
W. J. Kennedy, Mervyn G. Marasinghe
Publication date: 1982
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918208812273
Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Random matrices (algebraic aspects) (15B52) Random number generation in numerical analysis (65C10)
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Cites Work
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- On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix
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- Procedures to generate random matrices with noncentral distributions
- On the Distribution of the Largest Latent Root and the Corresponding Latent Vector for Principal Component Analysis
- On the Distribution of the Largest Root of a Matrix in Multivariate Analysis
- On the exact distributions of the extreme roots of the Wishart and MANOVA matrices
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