Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix

DOI10.1016/J.JMVA.2020.104642zbMATH Open1448.62068arXiv1903.10099OpenAlexW3034719939MaRDI QIDQ2196124FDOQ2196124

Satoshi Kuriki, Lin Jiu, Yi Zhang, Nobuki Takayama

Publication date: 28 August 2020

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

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 $2imes2$ matrix case and perform a numerical analysis of it.

Full work available at URL: https://arxiv.org/abs/1903.10099

zbMATH Keywords

holonomic gradient methodEuler characteristic methodreal non-central Wishart distributions

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

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Cited In (1)

• Wigner and Wishart ensembles for sparse Vinberg models

Uses Software

• HolonomicFunctions

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