Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
From MaRDI portal
Publication:2196124
Abstract: We give an approximate formula for the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for the general dimension. The formula is expressed in terms of a definite integral with parameters. We derive a differential equation satisfied by the integral for the matrix case and perform a numerical analysis of it.
Recommendations
- Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
- Differential relations for the largest root distribution of complex non-central Wishart matrices
- Rank 1 real Wishart spiked model
- Euler characteristic heuristic for approximating the distribution of the largest eigenvalue of an orthogonally invariant random matrix
- Large deviations of the maximum eigenvalue in Wishart random matrices
Cites work
- scientific article; zbMATH DE number 3718376 (Why is no real title available?)
- scientific article; zbMATH DE number 3751955 (Why is no real title available?)
- scientific article; zbMATH DE number 3107108 (Why is no real title available?)
- Advanced applications of the holonomic systems approach. (Abstract of thesis)
- Algorithmic proofs of two theorems of Stafford.
- An extension of Zeilberger's fast algorithm to general holonomic functions
- Apparent singularities of D-finite systems
- Boundary corrections for the expected Euler characteristic of excursion sets of random fields, with an application to astrophysics
- Detecting sparse cone alternatives for Gaussian random fields, with an application to fMRI
- Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance
- Euler characteristic heuristic for approximating the distribution of the largest eigenvalue of an orthogonally invariant random matrix
- Gröbner Bases
- Ideals, Varieties, and Algorithms
- Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory
- Jacobi Polynomials Associated with Selberg Integrals
- Normal Multivariate Analysis and the Orthogonal Group
- On Wishart distribution: some extensions
- On the distribution of the latent roots of a positive definite random symmetric matrix. I
- On the exact distributions of the extreme roots of the Wishart and MANOVA matrices
- Proof of George Andrews's and David Robbins's \(q\)-TSPP conjecture
- Proof of Ira Gessel's lattice path conjecture
- Random Fields and Geometry
- Selberg Integrals and Hypergeometric Functions Associated with Jack Polynomials
- Shrinkage to smooth non-convex cone :Principal component analysis as stein estimation
- Tail probabilities of noncentral quadratic forms
- Tail probabilities of the maxima of multilinear forms and their applications.
- The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
- The method of creative telescoping
- The non-central Wishart distribution
- Towards an effective version of a theorem of Stafford
Cited in
(4)- Euler characteristic heuristic for approximating the distribution of the largest eigenvalue of an orthogonally invariant random matrix
- Wigner and Wishart ensembles for sparse Vinberg models
- The densities and distributions of the largest eigenvalue and the trace of a beta-Wishart matrix
- Genus expansion for real Wishart matrices
This page was built for publication: Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2196124)
