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

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.
Year of publication:
1972
Authors: Fujikoshi, Yasunori
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 2.1972, 2, p. 208-218
Publisher: Elsevier
Keywords: Determinant and trace of a noncentral beta matrix distribution function asymptotic expansion hypergeometric function of matrix argument characteristic function and inversion
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005152841
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