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MULTIVARIATE ANALYSIS AND JACOBI ENSEMBLES: LARGEST EIGENVALUE, TRACY–WIDOM LIMITS AND RATES OF CONVERGENCE
Let A and B be independent, central Wishart matrices in p variables with common covariance and having m and n degrees of freedom, respectively. The distribution of the largest eigenvalue of (A + B)(−1) B has numerous applications in multivariate statistics, but is difficult to calculate exactly. Sup...
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
2008
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| Schlagworte: | |
| Online Zugang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC2821031/ https://ncbi.nlm.nih.gov/pubmed/20157626 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/08-AOS605 |
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