Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146075 | Journal of Multivariate Analysis | 2012 | 14 Pages |
Abstract
Pencils of matrices whose elements have a joint noncentral Gaussian distribution with nonidentical covariance are considered. An approximation to the distribution of the squared modulus of their determinant is computed which allows to get a closed form approximation of the condensed density of the generalized eigenvalues of the pencils. Implications of this result for solving several moments problems are discussed and some numerical examples are provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Piero Barone,