Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145626 | Journal of Multivariate Analysis | 2014 | 13 Pages |
Abstract
We derive efficient recursive formulas giving the exact distribution of the largest eigenvalue for finite dimensional real Wishart matrices and for the Gaussian Orthogonal Ensemble (GOE). In comparing the exact distribution with the limiting distribution of large random matrices, we also found that the Tracy–Widom law can be approximated by a properly scaled and shifted gamma distribution, with great accuracy for the values of common interest in statistical applications.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Marco Chiani,