Trace of the Wishart Matrix and Applications

• 作者: Dinh N. Thanh Duong T. Phong T. Pham-Gia
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: TRACE Wishart MATRIX SPHERICITY LATENT Roots A-Hypergeometric Functions HUMBERT Function
• 年，卷（期）: 2015,（3）
• 页码范围: 173-190
• 页数: 18页
• 分类号: O1

摘要

The trace of a Wishart matrix, either central or non-central, has important roles in various multi-variate statistical questions. We review several expressions of its distribution given in the literature, establish some new results and provide a discussion on computing methods on the distribution of the ratio: the largest eigenvalue to trace.