On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix

DOI10.1016/j.jmva.2010.10.005zbMath1327.62331OpenAlexW2043206143MaRDI QIDQ618160

Boaz Nadler

Publication date: 14 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.10.005

zbMATH Keywords

Tracy-Widom distributionratio of largest eigenvalue to traceprincipal components analysisWishart matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices ⋮ Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices ⋮ Random matrix theory in statistics: a review ⋮ Largest Schmidt eigenvalue of random pure states and conductance distribution in chaotic cavities ⋮ Log-gamma directed polymer with one free end via coordinate Bethe Ansatz ⋮ Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix ⋮ Unsupervised streaming anomaly detection for instrumented infrastructure ⋮ Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model ⋮ Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution ⋮ Recursion scheme for the largest $\beta$ -Wishart–Laguerre eigenvalue and Landauer conductance in quantum transport

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