Numerical and Monte Carlo verification of V-distribution

DOI10.1515/ROSE.1998.6.2.201zbMATH Open1005.65001OpenAlexW1986145178MaRDI QIDQ3843097FDOQ3843097

Authors:

Publication date: 24 August 1998

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.1998.6.2.201

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zbMATH Keywords

stochastic matrixdistribution of eigenvaluesMonte Carlo studies

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Stochastic matrices (15B51)

Cited In (5)

• Algorithm and software for defining the distribution of eigenvalues of random symmetric matrices via simulation
• Exact separation of eigenvalues of large dimensional sample covariance matrices
• A statistical veto method employing an amplitude consistency check
• On the number of real eigenvalues of a product of truncated orthogonal random matrices
• Gaussian fluctuations in complex sample covariance matrices

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