Distribution of the largest eigenvalue of an elliptical Wishart matrix and its simulation (Q4560128)
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scientific article; zbMATH DE number 6989046
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| English | Distribution of the largest eigenvalue of an elliptical Wishart matrix and its simulation |
scientific article; zbMATH DE number 6989046 |
Statements
DISTRIBUTION OF THE LARGEST EIGENVALUE OF AN ELLIPTICAL WISHART MATRIX AND ITS SIMULATION (English)
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4 December 2018
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eigenvalue distribution
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elliptically contoured distribution
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hypergeometric function of a matrix argument
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matrix-variate \(t\) distribution
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percentile point
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random numbers
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0.861396849155426
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0.8156794309616089
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0.7965571284294128
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0.7946149110794067
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