The densities and distributions of the largest eigenvalue and the trace of a Beta–Wishart matrix
Name
WishartTrace.pdf
Description
Accepted version
Size
618.02 KB
Format
Adobe PDF
Checksum (MD5)
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Author(s)
Drensky, Vesselin
Edelman, Alan
Genoar, Tierney
Kan, Raymond
Koev, Plamen
Date Issued
2019
Journal
Random Matrices: Theory and Applications
Publisher
World Scientific Pub Co Pte Lt
Version
Author's final manuscript
Abstract
© 2021 World Scientific Publishing Company. We present new expressions for the densities and distributions of the largest eigenvalue and the trace of a Beta-Wishart matrix. The series expansions for these expressions involve fewer terms than previously known results. For the trace, we also present a new algorithm that is linear in the size of the matrix and the degree of truncation, which is optimal.
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/S2010326321500106
