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On the exact distributions of the extreme roots of the Wishart and MANOVA matrices

Author

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  • Krishnaiah, P. R.
  • Chang, T. C.

Abstract

In this paper, the authors derived exact central distributions of the extreme roots of the Wishart and MANOVA matrices. The expressions for these distributions and the associated probability integrals are written as linear combinations of the products of certain double integrals. The double integrals encountered can be evaluated without any difficulty.

Suggested Citation

  • Krishnaiah, P. R. & Chang, T. C., 1971. "On the exact distributions of the extreme roots of the Wishart and MANOVA matrices," Journal of Multivariate Analysis, Elsevier, vol. 1(1), pages 108-117, April.
    • Handle: RePEc:eee:jmvana:v:1:y:1971:i:1:p:108-117
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    Cited by:

    1. Takayama, Nobuki & Jiu, Lin & Kuriki, Satoshi & Zhang, Yi, 2020. "Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
    2. Armine Bagyan & Donald Richards, 2023. "Hoffmann-Jørgensen Inequalities for Random Walks on the Cone of Positive Definite Matrices," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1181-1202, June.
    3. Bai, Zhidong & Silverstein, Jack W., 2022. "A tribute to P.R. Krishnaiah," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

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