Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution

DOI10.1007/S11222-009-9154-7zbMATH Open1284.62319OpenAlexW1997150455MaRDI QIDQ692963FDOQ692963

Authors: M. C. Fu 

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-009-9154-7

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• Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
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• Numerical computation on distributions of the largest and the smallest latent roots of the Wishart matrix
• Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method

zbMATH Keywords

convergence acceleration\(_2 F_1\) and \(_1 F_1\) hypergeometric functionslargest eigenvalue of a WishartRoy's test

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (probabilistic aspects) (60B20) Classical hypergeometric functions, ({}_2F_1) (33C05) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

Cites Work

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• ON THE DISTRIBUTION OF THE LARGEST OR THE SMALLEST ROOT OF A MATRIX IN MULTIVARIATE ANALYSIS
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Cited In (9)

• The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
• Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
• On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
• Small sample inference for exponential survival times with heavy right-censoring
• Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
• On the exact distributions of the extreme roots of the Wishart and MANOVA matrices
• Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance
• Exact and approximate computation of critical values of the largest root test in high dimension
• Calculation and properties of zonal polynomials

Uses Software

• Maple

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