کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7546717 1489635 2018 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method
چکیده انگلیسی
We study the distribution of the ratio of two central Wishart matrices with different covariance matrices. We first derive the density function of a particular matrix form of the ratio and show that its cumulative distribution function can be expressed in terms of the hypergeometric function 2F1 of a matrix argument. Then we apply the holonomic gradient method for numerical evaluation of the hypergeometric function. This approach enables us to compute the power function of Roy's maximum root test for testing the equality of two covariance matrices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 165, May 2018, Pages 270-278
نویسندگان
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