Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy–Widom distribution
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DOI: 10.1016/j.jmva.2014.04.002
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References listed on IDEAS
- Nadler, Boaz, 2011. "On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 363-371, February.
- C. Khatri, 1969. "Non-central distributions ofith largest characteristic roots of three matrices concerning complex multivariate normal populations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 23-32, December.
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Cited by:
- Dharmawansa, Prathapasinghe & Nadler, Boaz & Shwartz, Ofer, 2019. "Roy’s largest root under rank-one perturbations: The complex valued case and applications," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Shimizu, Koki & Hashiguchi, Hiroki, 2021. "Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
- Azaïs, Jean-Marc & Delmas, Céline, 2022. "Mean number and correlation function of critical points of isotropic Gaussian fields and some results on GOE random matrices," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 411-445.
- Chiani, Marco, 2016. "Distribution of the largest root of a matrix for Roy’s test in multivariate analysis of variance," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 467-471.
- 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.
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Keywords
Random matrix theory; Characteristic roots; Largest eigenvalue; Tracy–Widom distribution; Wishart matrices; Gaussian Orthogonal Ensemble;All these keywords.
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