On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix

DOI10.1016/J.JMVA.2010.10.005MaRDI QIDQ618160zbMATH OpenOpenAlexFDO

Authors Boaz Nadler

Publication date 14 January 2011

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

Full work available at URL https://doi.org/10.1016/j.jmva.2010.10.005

zbMATH Keywords

principal components analysisratio of largest eigenvalue to traceTracy-Widom distributionWishart matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 41076 (Why is no real title available?)
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
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• Asymptotics of random density matrices
• CFAR matched direction detector
• Induced measures in the space of mixed quantum states
• Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory
• Nonparametric Detection of Signals by Information Theoretic Criteria: Performance Analysis and an Improved Estimator
• On the distribution of the largest eigenvalue in principal components analysis
• On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix
• On the numerical evaluation of distributions in random matrix theory: a review
• On the ratios of the individual latent roots to the trace of a Wishart matrix
• Performance of Statistical Tests for Single-Source Detection Using Random Matrix Theory
• Shape fluctuations and random matrices
• Statistical distribution of quantum entanglement for a random bipartite state
• Tail probabilities of the maxima of multilinear forms and their applications.
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles

Cited in

(19)

• Log-gamma directed polymer with one free end via coordinate Bethe ansatz
• On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices
• Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
• Recursion scheme for the largest $\beta$ -Wishart–Laguerre eigenvalue and Landauer conductance in quantum transport
• Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method
• Roy's largest root under rank-one perturbations: the complex valued case and applications
• Approximate eigenvalue distribution for the ratio of Wishart matrices
• Largest Schmidt eigenvalue of random pure states and conductance distribution in chaotic cavities
• The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
• Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
• Unsupervised streaming anomaly detection for instrumented infrastructure
• Random matrix theory in statistics: a review
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Tracy–Widom method for Jánossy density and joint distribution of extremal eigenvalues of random matrices
• On stochastic majorization of the eigenvalues of a Wishart matrix
• The distribution of the ratio of independent central wishart determinants
• Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model
• The smallest eigenvalue of a large dimensional Wishart matrix
• scientific article; zbMATH DE number 6949937 (Why is no real title available?)

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