Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
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DOI: 10.1016/j.jmva.2018.03.011
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References listed on IDEAS
- 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.
- 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.
- 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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Keywords
Ratio of largest eigenvalue to trace; Rare events; Wishart matrices; Tracy–Widom distribution;All these keywords.
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