Direct methods for generating extreme characteristic roots of certain random matrices

DOI10.1080/03610918208812273MaRDI QIDQ4743659zbMATH OpenOpenAlexFDO

Authors Mervyn G. Marasinghe, W. J. Kennedy

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

zbMATH Keywords

Beta matricesextreme characteristic rootsmultivariatesimulationWishart matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random number generation in numerical analysis (65C10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Cites work

• scientific article; zbMATH DE number 3678917 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• On the Distribution of the Largest Latent Root and the Corresponding Latent Vector for Principal Component Analysis
• ON THE DISTRIBUTION OF THE LARGEST OR THE SMALLEST ROOT OF A MATRIX IN MULTIVARIATE ANALYSIS
• On the Distribution of the Largest Root of a Matrix in Multivariate Analysis
• On the distributions of the latent roots and traces of certain random matrices
• On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix
• On the exact distribution of the smallest root of the Wishart matrix using zonal polynomials
• On the exact distributions of the extreme roots of the Wishart and MANOVA matrices
• On the ratios of the individual latent roots to the trace of a Wishart matrix
• Procedures to generate random matrices with noncentral distributions

Cited in

(1)

• On the Gaussian representation of the Riesz probability distribution on symmetric matrices

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