Exact joint distributions of any few ordered roots of a class of random matrices

P. R. Krishnaiah and V. B. Waikar

Journal of Multivariate Analysis, 1971, vol. 1, issue 3, 308-315

Abstract: In this paper, the authors derived exact expressions for the joint marginal densities of any few consecutive ordered roots of a class of random matrices which includes Wishart matrix, MANOVA matrix, and canonical correlation matrix. In addition, the authors obtained an exact expression for the probability integral associated with the joint distribution of any two ordered roots as well as an expression for the c.d.f. of a single intermediate root. All the above expressions are linear combinations of the products of certain double integrals which can be evaluated without any difficulty.

Keywords: exact; distributions; random; matrices; few; ordered; roots (search for similar items in EconPapers)
Date: 1971
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(71)90005-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:1:y:1971:i:3:p:308-315

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().