Work

Trace of the Wishart Matrix and Applications

Year: 2015

Type: article

Abstract: 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.

Source: Open Journal of Statistics

DOI: 10.4236/ojs.2015.53021

Authors: T. Pham-Gia, Dinh N. Thanh, Duong T. Phong

Institutions: Université de Moncton, Ho Chi Minh City University of Science, Ton Duc Thang University

Language: English

Topic: Random Matrices and Applications

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

OpenAlex ID: W2012014667

FWCI: 0.892

Cites: 38

Cited by: 14

Related to: 10