On the Probability That All Eigenvalues of Gaussian, Wishart, and Double Wishart Random Matrices Lie Within an Interval
Work
Year: 2017
Type: article
Abstract: We derive the probability that all eigenvalues of a random matrix $\bf M$ lie within an arbitrary interval $[a,b]$, $\psi(a,b)\triangleq\Pr\{a\leq\lambda_{\min}({\bf M}), \lambda_{\max}({\bf M})\leq b... more
Author Marco Chiani
Institution University of Bologna
Cites: 59
Cited by: 19
Related to: 10
FWCI: 3.072
Citation percentile (by year/subfield): 84.56
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green
Grant ID 644090