Roy’s largest root under rank-one perturbations: The complex valued case and applications

• Published in: Journal of multivariate analysis Vol. 174; p. 104524
• Main Authors: Dharmawansa, Prathapasinghe, Nadler, Boaz, Shwartz, Ofer
• Format: Journal Article
• Language: English
• Published: United States Elsevier Inc 01.11.2019
• Subjects: Complex Wishart distribution; Rank-one perturbation; Roy’s largest root; Signal detection in noise; secondary; Complex Wishart distribution; Rank-one perturbation; Signal detection in noise; primary; Roy’s largest root; 33C15; Signal detection in noise 2010 MSC: Primary 60B20; Seconday 62H10

The largest eigenvalue of a single or a double Wishart matrix, both known as Roy’s largest root, plays an important role in a variety of applications. Recently, via a small noise perturbation approach with fixed dimension and degrees of freedom, Johnstone and Nadler derived simple yet accurate appro...