On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix
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- Davis, A. W., 1972. "On the ratios of the individual latent roots to the trace of a Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 2(4), pages 440-443, December.
- Schuurmann, F. J. & Krishnaiah, P. R. & Chattopadhyay, A. K., 1973. "On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 445-453, December.
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Cited by:
- Chiani, Marco, 2014. "Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy–Widom distribution," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 69-81.
- Deo, Rohit S., 2016. "On the Tracy–Widom approximation of studentized extreme eigenvalues of Wishart matrices," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 265-272.
- He, Yinqiu & Xu, Gongjun, 2018. "Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 320-334.
- Hachem, Walid & Loubaton, Philippe & Mestre, Xavier & Najim, Jamal & Vallet, Pascal, 2013. "A subspace estimator for fixed rank perturbations of large random matrices," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 427-447.
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Keywords
Ratio of largest eigenvalue to trace Principal components analysis Wishart matrices Tracy-Widom distribution;Statistics
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