Analytic approximation to the largest eigenvalue distribution of a white Wishart matrix

2012 ◽  
Vol 6 (12) ◽  
pp. 1804 ◽  
Author(s):  
J.D. Vlok ◽  
J.C. Olivier
Keyword(s):  
Eigenvalue Distribution ◽  
Analytic Approximation ◽  
Wishart Matrix ◽  
Largest Eigenvalue ◽  
The Largest Eigenvalue

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

2019 ◽  
Vol 10 (01) ◽  
pp. 2150010
Author(s):  
Vesselin Drensky ◽  
Alan Edelman ◽  
Tierney Genoar ◽  
Raymond Kan ◽  
Plamen Koev
Keyword(s):  
Series Expansions ◽  
Wishart Matrix ◽  
Largest Eigenvalue ◽  
The Matrix ◽  
The Largest Eigenvalue

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.

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