Computations of the Expected Euler Characteristic for the Largest Eigenvalue of a Real Wishart Matrix
Takayama, Nobuki ; Jiu, Lin ; Kuriki, Satoshi ; Zhang, Yi
arXiv, Tome 2019 (2019) no. 0, / Harvested from
We give an approximate formula of the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for the 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 $2 \times 2$ matrix case and perform a numerical analysis of it.
Publié le : 2019-03-24
Classification:  Mathematics - Statistics Theory,  Computer Science - Symbolic Computation 
@article{1903.10099,
     author = {Takayama, Nobuki and Jiu, Lin and Kuriki, Satoshi and Zhang, Yi},
     title = {Computations of the Expected Euler Characteristic for the Largest
  Eigenvalue of a Real Wishart Matrix},
     journal = {arXiv},
     volume = {2019},
     number = {0},
     year = {2019},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1903.10099}
}

Takayama, Nobuki; Jiu, Lin; Kuriki, Satoshi; Zhang, Yi. Computations of the Expected Euler Characteristic for the Largest
  Eigenvalue of a Real Wishart Matrix. arXiv, Tome 2019 (2019) no. 0, . http://gdmltest.u-ga.fr/item/1903.10099/