On the distributions of the latent roots and traces of certain random matrices

A. W. Davis

Journal of Multivariate Analysis, 1972, vol. 2, issue 2, 189-200

Abstract: It is shown that differential equations given by the author may be used recursively to construct certain multivariate null distributions in reduced form. These include the distributions of individual latent roots of B = S1(S1 + S2)-1, and distributions of Tr B and Tr S1S2-1, for small numbers of variates.

Keywords: exact; distributions; random; matrices; individual; latent; roots; trace; differential; equations; Laplace; transforms (search for similar items in EconPapers)
Date: 1972
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(72)90026-7
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:2:y:1972:i:2:p:189-200

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 ().