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- Boaz Nadler, Ofer Shwartz
- 2014

The largest eigenvalue of a Wishart matrix, known as Roy’s largest root (RLR), plays an important role in a variety of applications. Most works to date derived approximations to its distribution under various asymptotic regimes, such as degrees of freedom, dimension, or both tending to infinity. However, several applications involve finite and relative… (More)

- Ofer Shwartz, Boaz Nadler
- ArXiv
- 2015

The covariance matrix of a p-dimensional random variable is a fundamental quantity in data analysis. Given n i.i.d. observations, it is typically estimated by the sample covariance matrix, at a computational cost of O(np2) operations. When n, p are large, this computation may be prohibitively slow. Moreover, in several contemporary applications, the… (More)

- Prathapasinghe Dharmawansa, Boaz Nadler, Ofer Shwartz
- ArXiv
- 2014

The largest eigenvalue of a Wishart matrix, known as Roy’s largest root (RLR), plays an important role in a variety of applications. Most works to date derived approximations to its distribution under various asymptotic regimes, such as degrees of freedom, dimension, or both tending to infinity. However, several applications involve finite and relative… (More)

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