On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices

DOI10.1016/j.jmva.2016.01.010zbMath1336.62121OpenAlexW2285899518MaRDI QIDQ272083

Rohit S. Deo

Publication date: 20 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.01.010

zbMATH Keywords

Wishart matrixratio of largest eigenvalue to tracesphericityTracy-Widom

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items

Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model

Cites Work

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