Application of Random Matrix Theory to Multivariate Statistics
Probability
2011-05-23 v1 Statistics Theory
Statistics Theory
Abstract
This is an expository account of the edge eigenvalue distributions in random matrix theory and their application in multivariate statistics. The emphasis is on the Painlev\'e representations of these distributions.
Cite
@article{arxiv.math/0603543,
title = {Application of Random Matrix Theory to Multivariate Statistics},
author = {Momar Dieng and Craig A. Tracy},
journal= {arXiv preprint arXiv:math/0603543},
year = {2011}
}