On the Exact Distributions of the Extreme Roots of the Wishart and MANOVA Matrices.
Abstract
The authors give exact expressions for the probability distribution functions of the extreme roots of the Wishart and MANOVA matrices by making use of an elegant method of Mehta for the evaluation of certain integral. Some remarks are also made as to how to evaluate the cumulative distribution functions of these distributions. The expressions obtained are in terms of pfaffian (square roots of the determinants of skew symmetric matrices of even order); here the authors note that a pfaffian can be expressed as a polynomial and so the expressions obtained here are useful for computational purposes. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 1970
- Accession Number
- AD0716815
Entities
People
- Paruchuri R. Krishnaiah
- T. C. Chang
Organizations
- Air Force Research Laboratory