Chi-Square Approximation for the Distribution of Individual Eigenvalues of a Singular Wishart Matrix

Chi-Square Approximation for the Distribution of Individual Eigenvalues of a Singular Wishart Matrix

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 app...

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Bibliographic Details
Main Authors: Koki Shimizu, Hiroki Hashiguchi
Format: Article
Language:English
Published: MDPI AG 2024-03-01
Series:Mathematics
Subjects:
hypergeometric functions
laplace approximation
spiked covariance model
Online Access:https://www.mdpi.com/2227-7390/12/6/921

Internet

https://www.mdpi.com/2227-7390/12/6/921

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