Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method
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Publication:1742747
Abstract: We study the distribution of the ratio of two central Wishart matrices with different covariance matrices. We first derive the density function of a particular matrix form of the ratio and show that its cumulative distribution function can be expressed in terms of the hypergeometric function 2F1 of a matrix argument. Then we apply the holonomic gradient method for numerical evaluation of the hypergeometric function. This approach enables us to compute the power function of Roy's maximum root test for testing the equality of two covariance matrices.
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Cited in
(6)- Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix
- Algebraic analysis of the hypergeometric function \(_1F_1\) of a matrix argument
- The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
- Approximate eigenvalue distribution for the ratio of Wishart matrices
- Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
- Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
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