Direct methods for generating extreme characteristic roots of certain random matrices

DOI10.1080/03610918208812273zbMath0506.65015OpenAlexW2075985557MaRDI QIDQ4743659

W. J. Kennedy, Mervyn G. Marasinghe

Publication date: 1982

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918208812273

zbMATH Keywords

simulationmultivariateWishart matricesBeta matricesextreme characteristic roots

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Random matrices (algebraic aspects) (15B52) Random number generation in numerical analysis (65C10)

Related Items (1)

On the Gaussian representation of the Riesz probability distribution on symmetric matrices

Cites Work

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• On the distributions of the latent roots and traces of certain random matrices
• ON THE DISTRIBUTION OF THE LARGEST OR THE SMALLEST ROOT OF A MATRIX IN MULTIVARIATE ANALYSIS
• Procedures to generate random matrices with noncentral distributions
• On the Distribution of the Largest Latent Root and the Corresponding Latent Vector for Principal Component Analysis
• On the Distribution of the Largest Root of a Matrix in Multivariate Analysis
• On the exact distributions of the extreme roots of the Wishart and MANOVA matrices

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