Roy's largest root under rank-one alternatives: The complex valued case and applications

Abstract

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)

Topics

7 Figures and Tables

Slides referencing similar topics