NUMERICAL COMPUTATION ON DISTRIBUTIONS OF THE LARGEST AND THE SMALLEST LATENT ROOTS OF THE WISHART MATRIX

Discussion is made upon numerical computation for the distributions of the smallest and the largest latent roots of Wishart random matrices by numerically evaluating the series in zonal polynomials of high degree. Graphs for bivariate to quadrivariate distributions of the smallest latent root and fo...

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Bibliographic Details
Published inJournal of the Japanese Society of Computational Statistics Vol. 19; no. 1; pp. 45 - 56
Main Authors Hashiguchi, Hiroki, Niki, Naoto
Format Journal Article
LanguageEnglish
Published Japanese Society of Computational Statistics 2006
Subjects
Elementary symmetric function
Hypergeometric function of matrix argument
Zonal polynomial
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Summary:Discussion is made upon numerical computation for the distributions of the smallest and the largest latent roots of Wishart random matrices by numerically evaluating the series in zonal polynomials of high degree. Graphs for bivariate to quadrivariate distributions of the smallest latent root and for trivariate ones of the latter are shown for several values of parameters.
ISSN:0915-2350
1881-1337
DOI:10.5183/jjscs1988.19.45