rootWishart

swMATH15861CRANrootWishartMaRDI QIDQ27733FDOQ27733

Distribution of Largest Root for Single and Double Wishart Settings

Maxime Turgeon

Last update: 17 March 2018

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.3.0, 0.4.0, 0.4.1

Source code repository: https://github.com/cran/rootWishart

Cites work

• Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy–Widom distribution
• Distribution of the largest root of a matrix for Roy’s test in multivariate analysis of variance

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