Simple and exact extreme eigenvalue distributions of finite Wishart matrices

The authors provide compact and exact expressions for the extreme eigenvalues of finite Wishart matrices with arbitrary dimensions. Using a combination of earlier results, which they refer to as the James–Edelman–Dighe framework, not only an original expression for the cumulative distribution functi...

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Bibliographic Details
Published in:	IET communications Vol. 9; no. 7; pp. 990 - 998
Main Authors:	Zhang, Wensheng, Zheltov, Pavel, Abreu, Giuseppe
Format:	Journal Article
Language:	English
Published:	The Institution of Engineering and Technology 07.05.2015
Subjects:	catalectic properties CDF coefficient matrix Coefficients Construction cumulative density function Determinants Eigenvalues eigenvalues and eigenfunctions exact extreme eigenvalue distribution Exact solutions exponential distribution exponential vector finite Wishart matrix Hankel matrices incomplete gamma function Hankel matrix James‐Edelman‐Dighe framework Mathematical analysis monomial vector probability density function simple extreme eigenvalue distribution Theorems Vectors (mathematics) incomplete gamma function Hankel matrix CDF cumulative density function coefficient matrix Hankel matrices monomial vector eigenvalues and eigenfunctions exact extreme eigenvalue distribution simple extreme eigenvalue distribution exponential distribution James-Edelman-Dighe framework finite Wishart matrix exponential vector catalectic properties probability density function
ISSN:	1751-8628, 1751-8636
Online Access:	Get full text
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