Eigenvalue distributions of beta-Wishart matrices

Author(s)
Edelman, Alan; Koev, Plamen S
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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.
Date issued
2014-05
URI
http://hdl.handle.net/1721.1/116006
Department
Massachusetts Institute of Technology. Department of Mathematics
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
ISSN
2010-3263
2010-3271
Keywords
Wishart matrix; eigenvalue; hypergeometric function of a matrix argument
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