Differential relations for the largest root distribution of complex non-central Wishart matrices
Statistics Theory
2016-09-08 v1 Statistics Theory
Abstract
A holonomic system for the probability density function of the largest eigenvalue of a non-central complex Wishart distribution with identity covariance matrix is derived. Furthermore a new determinantal formula for the probability density function is derived (for m=2,3) or conjectured.
Keywords
Cite
@article{arxiv.1609.01799,
title = {Differential relations for the largest root distribution of complex non-central Wishart matrices},
author = {Raimundas Vidunas and Akimichi Takemura},
journal= {arXiv preprint arXiv:1609.01799},
year = {2016}
}
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23 pages