TY - JOUR
T1 - Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
AU - Takayama, Nobuki
AU - Jiu, Lin
AU - Kuriki, Satoshi
AU - Zhang, Yi
N1 - Publisher Copyright:
© 2020 Elsevier Inc.
PY - 2020/9
Y1 - 2020/9
N2 - We give an approximate formula for the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for general dimension. The formula is expressed in terms of a definite integral with parameters. We derive a differential equation satisfied by the integral for the 2×2 matrix case and perform a numerical analysis of it.
AB - We give an approximate formula for the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for general dimension. The formula is expressed in terms of a definite integral with parameters. We derive a differential equation satisfied by the integral for the 2×2 matrix case and perform a numerical analysis of it.
KW - Euler characteristic method
KW - Holonomic gradient method
KW - Real non-central Wishart distributions
UR - http://www.scopus.com/inward/record.url?scp=85086478527&partnerID=8YFLogxK
U2 - 10.1016/j.jmva.2020.104642
DO - 10.1016/j.jmva.2020.104642
M3 - Article
AN - SCOPUS:85086478527
SN - 0047-259X
VL - 179
JO - Journal of Multivariate Analysis
JF - Journal of Multivariate Analysis
M1 - 104642
ER -