Eigenvalue distributions of beta-Wishart matrices
Author(s)
Edelman, Alan
Koev, Plamen S
Date Issued
May 2014
Journal
Random Matrices: Theory and Applications
Publisher
World Scientific Pub Co Pte Lt
Citation
Edelman, Alan, and Plamen Koev. “Eigenvalue Distributions of Beta-Wishart Matrices.” Random Matrices: Theory and Applications 03, no. 02 (April 2014): 1450009.
Version
Author's final manuscript
Abstract
We derive explicit expressions for the distributions of the extreme eigenvalues of the Beta-Wishart random matrices in terms of the hypergeometric function of a matrix argument. These results generalize the classical results for the real (β = 1), complex (β = 2), and quaternion (β = 4) Wishart matrices to any β > 0.
Subjects
Wishart matrix; eigenvalue; hypergeometric function of a matrix argument
MIT Department
Massachusetts Institute of Technology. Department of Mathematics
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1142/S2010326314500099
