DISTRIBUTION OF THE LARGEST EIGENVALUE OF AN ELLIPTICAL WISHART MATRIX AND ITS SIMULATION

DOI10.5183/jjscs.1708001_244zbMath1407.62182OpenAlexW2809956475WikidataQ129644240 ScholiaQ129644240MaRDI QIDQ4560128

Toshiya Iwashita, Hiroki Hashiguchi, Aya Shinozaki

Publication date: 4 December 2018

Published in: Journal of the Japanese Society of Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5183/jjscs.1708001_244

zbMATH Keywords

eigenvalue distributionelliptically contoured distributionrandom numbersmatrix-variate \(t\) distributionhypergeometric function of a matrix argumentpercentile point

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15) Random number generation in numerical analysis (65C10)

Related Items (2)

Generalized heterogeneous hypergeometric functions and the distribution of the largest eigenvalue of an elliptical Wishart matrix ⋮ Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions

Uses Software

• Mathematica

Cites Work

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• Noncentral elliptical configuration density
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• On generalized Wishart distributions. I: Likelihood ratio test for homogeneity of covariance matrices
• On generalized Wishart distributions. II: Sphericity test
• On the Distribution of the Largest Latent Root of the Covariance Matrix
• Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
• The Distribution of the Latent Roots of the Covariance Matrix
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Some Non-Central Distribution Problems in Multivariate Analysis
• Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

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