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The distribution of the non-central Wilks statistic in the complex case

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  • Thu, Pham-Gia
  • Phong, Duong Thanh

Abstract

We derive an approximation of the cumulative distribution function of the non-central complex Wilks statistic Λ. Our result can be used for numerical computation and applied to several problems in multivariate analysis and signal detection.

Suggested Citation

  • Thu, Pham-Gia & Phong, Duong Thanh, 2022. "The distribution of the non-central Wilks statistic in the complex case," Statistics & Probability Letters, Elsevier, vol. 184(C).
    • Handle: RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000062
    DOI: 10.1016/j.spl.2022.109373
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    References listed on IDEAS

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    1. Carlos Coelho & Barry Arnold & Filipe Marques, 2015. "The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 386-416, June.
    2. 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).
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