Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution

DOI10.1016/J.JMVA.2014.04.002zbMATH Open1359.60013arXiv1209.3394OpenAlexW1995012902MaRDI QIDQ2015056FDOQ2015056

Authors: Marco Chiani 

Publication date: 18 June 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We derive efficient recursive formulas giving the exact distribution of the largest eigenvalue for finite dimensional real Wishart matrices and for the Gaussian Orthogonal Ensemble (GOE). In comparing the exact distribution with the limiting distribution of large random matrices, we also found that the Tracy-Widom law can be approximated by a properly scaled and shifted Gamma distribution, with great accuracy for the values of common interest in statistical applications.

Full work available at URL: https://arxiv.org/abs/1209.3394

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zbMATH Keywords

random matrix theorylargest eigenvaluecharacteristic rootsTracy-Widom distributionWishart matricesGaussian orthogonal ensemble

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (47)

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