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

Publication Date

1-1-2021

Document Type

Article

Publication Title

Random Matrices: Theory and Application

Volume

10

Issue

1

DOI

10.1142/S2010326321500106

Abstract

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.

Funding Number

DMS– 1016086

Funding Sponsor

National Science Foundation

Keywords

eigenvalue, hypergeometric function of a matrix argument, trace, Wishart

Department

Mathematics and Statistics

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