Asymptotic formulas for the distributions of the determinant and the trace of a noncentral beta matrix

Yasunori Fujikoshi

Journal of Multivariate Analysis, 1972, vol. 2, issue 2, 208-218

Abstract: Let B be the noncentral beta matrix defined by B = (Sh + Se)-1/2 · Sh(Se + Sh)-1/2, where Se and Sh are independently distributed as Wishart distribution Wp(r, [Sigma]) and noncentral Wishart distribution Wp(q, [Sigma], [Omega]), respectively. Then asymptotic expansions of the distributions of [short parallel] B [short parallel] and Tr B are derived up to order q-3 and q-2 for large q, respectively.

Keywords: Determinant; and; trace; of; a; noncentral; beta; matrix; distribution; function; asymptotic; expansion; hypergeometric; function; of; matrix; argument; characteristic; function; and; inversion (search for similar items in EconPapers)
Date: 1972
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