Title
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
Recommended Citation
Vesselin Drensky, Alan Edelman, Tierney Genoar, Raymond Kan, and Plamen Koev. "The densities and distributions of the largest eigenvalue and the trace of a Beta-Wishart matrix" Random Matrices: Theory and Application (2021). https://doi.org/10.1142/S2010326321500106
