DISTRIBUTION OF THE LARGEST EIGENVALUE OF AN ELLIPTICAL WISHART MATRIX AND ITS SIMULATION
Author:
Affiliation:
1. Department of Applied Mathematics, Graduate School of Science, Tokyo University of Science
2. Faculty of Science Division 1, Tokyo University of Science
3. Faculty of Science and Technology, Tokyo University of Science
Publisher
Japanese Society of Computational Statistics
Link
https://www.jstage.jst.go.jp/article/jjscs/30/2/30_1708001_244/_pdf
Reference17 articles.
1. Caro-Lopera, F. J., Diaz-Garcia, J. A. and Gonzalez-Farias G. (2010). Noncentral elliptical configuration density. Journal of Multivariate Analysis, 101 (1), 32-43.
2. Caro-Lopera, F. J., Gonzalez-Farias, G. and Balakrishnan N. (2014a). On generalized Wishart distributions - I: Likelihood ratio test for homogeneity of covariance matrices. Sankhya: The Indian Journal of Statistics, 76-A (2), 179-194.
3. Caro-Lopera, F. J., Gonzalez-Farias, G. and Balakrishnan N. (2014b). On generalized Wishart distributions - II: Sphericity test. Sankhya: The Indian Journal of Statistics,76-A (2), 195-218.
4. Caro-Lopera, F. J., Gonzalez-Farias, G. and Balakrishnan N. (2016). Matrix-Variate distribution theory under elliptical models - 4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots. Journal of Multivariate Analysis, 145, 224-235.
5. Constantine, A. G. (1963). Some non-central distribution problems in multivariate analysis. Annals of Mathematical Statistics, 34, 1270-1285.
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