Roy’s largest root under rank-one perturbations: The complex valued case and applications

Prathapasinghe Dharmawansa, Boaz Nadler and Ofer Shwartz

Journal of Multivariate Analysis, 2019, vol. 174, issue C

Abstract: The largest eigenvalue of a single or a double Wishart matrix, both known as Roy’s largest root, plays an important role in a variety of applications. Recently, via a small noise perturbation approach with fixed dimension and degrees of freedom, Johnstone and Nadler derived simple yet accurate approximations to its distribution in the real valued case, under a rank-one alternative. In this paper, we extend their results to the complex valued case for five common single matrix and double matrix settings. In addition, we study the finite sample distribution of the leading eigenvector. We present the utility of our results in several signal detection and communication applications, and illustrate their accuracy via simulations.

Keywords: Complex Wishart distribution; Rank-one perturbation; Roy’s largest root; Signal detection in noise (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.jmva.2019.05.009

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