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The densities and distributions of the largest eigenvalue and the trace of a Beta–Wishart matrix
Random Matrices: Theory and Applications ( IF 0.9 ) Pub Date : 2019-10-22 , DOI: 10.1142/s2010326321500106
Vesselin Drensky 1 , Alan Edelman 2 , Tierney Genoar 3 , Raymond Kan 4 , Plamen Koev 3
Affiliation  

We present new expressions for the densities and distributions of the largest eigenvalue and the trace of a Beta–Wishart matrix. The series expansions for these expressions involve fewer terms than previously known results. For the trace, we also present a new algorithm that is linear in the size of the matrix and the degree of truncation, which is optimal.

中文翻译:

最大特征值的密度和分布以及 Beta-Wishart 矩阵的迹

我们提出了最大特征值的密度和分布以及 Beta-Wishart 矩阵的迹的新表达式。这些表达式的级数展开涉及的项比以前已知的结果少。对于迹线,我们还提出了一种新算法,该算法在矩阵大小和截断程度方面是线性的,是最优的。
更新日期:2019-10-22
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