The densities and distributions of the largest eigenvalue and the trace of a Beta–Wishart matrix

Author(s)
Drensky, Vesselin; Edelman, Alan; Genoar, Tierney; Kan, Raymond; Koev, Plamen
Thumbnail
DownloadAccepted version (618.0Kb)
Open Access Policy
Terms of use
Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/
Metadata
Show full item record
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.
Date issued
2019
URI
https://hdl.handle.net/1721.1/133294
Department
Massachusetts Institute of Technology. Department of Mathematics
Journal
Random Matrices: Theory and Applications
Publisher
World Scientific Pub Co Pte Lt
Collections