We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Chi-Square Approximation for the Distribution of Individual Eigenvalues of a Singular Wishart Matrix.
- Authors
Shimizu, Koki; Hashiguchi, Hiroki
- Abstract
This paper discusses the approximate distributions of eigenvalues of a singular Wishart matrix. We give the approximate joint density of eigenvalues by Laplace approximation for the hypergeometric functions of matrix arguments. Furthermore, we show that the distribution of each eigenvalue can be approximated by the chi-square distribution with varying degrees of freedom when the population eigenvalues are infinitely dispersed. The derived result is applied to testing the equality of eigenvalues in two populations.
- Subjects
CHI-square distribution; WISHART matrices; EIGENVALUES; DEGREES of freedom; MATRIX functions
- Publication
Mathematics (2227-7390), 2024, Vol 12, Issue 6, p921
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math12060921