On the distributions of the latent roots and traces of certain random matrices

It is shown that differential equations given by the author may be used recursively to construct certain multivariate null distributions in reduced form. These include the distributions of individual latent roots of B = S1(S1 + S2)-1, and distributions of Tr B and Tr S1S2-1, for small numbers of variates.

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Year of publication:	1972
Authors:	Davis, A. W.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 2.1972, 2, p. 189-200
Publisher:	Elsevier
Keywords:	exact distributions random matrices individual latent roots trace differential equations Laplace transforms

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199677