Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix

DOI10.1016/j.jmva.2018.03.011zbMath1499.60005arXiv1711.03259OpenAlexW2962932180WikidataQ130018110 ScholiaQ130018110MaRDI QIDQ1750003

Gongjun Xu, Yinqiu He

Publication date: 17 May 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.03259

zbMATH Keywords

rare eventsTracy-Widom distributionratio of largest eigenvalue to traceWishart matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08)

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