Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix

Nobuki Takayama, Lin Jiu, Satoshi Kuriki and Yi Zhang

Journal of Multivariate Analysis, 2020, vol. 179, issue C

Abstract: We give an approximate formula for the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for general dimension. The formula is expressed in terms of a definite integral with parameters. We derive a differential equation satisfied by the integral for the 2×2 matrix case and perform a numerical analysis of it.

Keywords: Euler characteristic method; Holonomic gradient method; Real non-central Wishart distributions (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.jmva.2020.104642

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