NUMERICAL COMPUTATION ON DISTRIBUTIONS OF THE LARGEST AND THE SMALLEST LATENT ROOTS OF THE WISHART MATRIX

DOI10.5183/jjscs1988.19.45zbMath1327.65091OpenAlexW2015932327MaRDI QIDQ4916868

Naoto Niki, Hiroki Hashiguchi

Publication date: 26 April 2013

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/jjscs1988.19.45

zbMATH Keywords

elementary symmetric functionzonal polynomialhypergeometric function of matrix argument

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Computational methods for sparse matrices (65F50) Random matrices (probabilistic aspects) (60B20) Generalized hypergeometric series, ({}_pF_q) (33C20)

Related Items (6)

The holonomic gradient method for the distribution function of the largest root of a Wishart matrix ⋮ Asymptotic behavior of the distributions of eigenvalues for beta-Wishart ensemble under the dispersed population eigenvalues ⋮ Distribution approximation of covariance matrix eigenvalues ⋮ Unnamed Item ⋮ Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix ⋮ 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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