Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution

DOI10.1007/s11222-009-9154-7zbMath1284.62319OpenAlexW1997150455MaRDI QIDQ692963

M. C. Fu

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-009-9154-7

zbMATH Keywords

convergence acceleration\(_2 F_1\) and \(_1 F_1\) hypergeometric functionslargest eigenvalue of a WishartRoy's test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15) Random matrices (probabilistic aspects) (60B20) Analysis of variance and covariance (ANOVA) (62J10) Classical hypergeometric functions, ({}_2F_1) (33C05) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

Related Items

Small sample inference for exponential survival times with heavy right-censoring ⋮ The holonomic gradient method for the distribution function of the largest root of a Wishart matrix ⋮ Exact and approximate computation of critical values of the largest root test in high dimension ⋮ Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance ⋮ Calculation and properties of zonal polynomials ⋮ On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots ⋮ Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution

Uses Software

• Maple

Cites Work

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