On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix

Journal of Multivariate Analysis

Volumn 102, Issue 2, 2011, Pages 363-371

  Nadler, Boaz ^a  

^a WEIZMANN INSTITUTE OF SCIENCE   (Israel)

Author keywords

Principal components analysis; Ratio of largest eigenvalue to trace; Tracy Widom distribution; Wishart matrices

Indexed keywords

EID: 78649463596     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2010.10.005     Document Type: Article

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