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VOL. 77 | 2018 Differential relations for the largest root distribution of complex non-central Wishart matrices
Raimundas Vidunas, Akimichi Takemura

Editor(s) Takayuki Hibi

Abstract

A holonomic system for the probability density function of the largest eigenvalue of a non-central complex Wishart distribution with identity covariance matrix is derived. Furthermore a new determinantal formula for the probability density function is derived (for the dimensions $m=2,3$) or conjectured.

Information

Published: 1 January 2018
First available in Project Euclid: 21 September 2018

zbMATH: 07034259
MathSciNet: MR3839716

Digital Object Identifier: 10.2969/aspm/07710411

Subjects:
Primary: 13N10, 60E05, 62H10

Rights: Copyright © 2018 Mathematical Society of Japan

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