Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy–Widom distribution

Author:

Chiani Marco

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference39 articles.

1. Handbook of Mathematical Functions wih Formulas, Graphs, and Mathematical Tables;Abramowitz,1970

2. An Introduction to Multivariate Statistical Analysis;Anderson,2003

3. On the numerical evaluation of distributions in random matrix theory: a review;Bornemann;Markov Process. Related Fields,2010

4. Exact distributional computations for Roy’s statistic and the largest eigenvalue of a Wishart distribution;Butler;Stat. Comput.,2011

5. Laplace approximations for hypergeometric functions with matrix argument;Butler;Ann. Statist.,2002

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