Timeline for Distribution of Trace of non-centered Wishart matrix
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Dec 3, 2014 at 0:13 | comment | added | jvbraun | Looking through some of the literature by A.T. James, T.W. Anderson, and A.G. Constantine, I'm getting the feeling that if there were a nice analytic expression of the distribution of the trace in this setting that it would be visible by now. | |
| Dec 2, 2014 at 21:56 | comment | added | Andrei Kucharavy | Unfortunately I already saw this paper and wasn't able to extract the information I needed from it. Thank you nonetheless for your pointers. | |
| Dec 2, 2014 at 21:44 | comment | added | jvbraun | I have not (yet) seen any expressions of the PDF that do not have infinite series. (Zanella, Chiani, and Win, 2009) gives a closed-form solution for the distribution of ordered eigenvalues. Maybe that can be used to get to the trace? | |
| Dec 2, 2014 at 15:58 | comment | added | Andrei Kucharavy | Thank you for your response. I've already encountered these publications and was wondering if there was an expression of PDF that would not rely on the infinite series. Would you have heard anything along those lines? | |
| Nov 4, 2014 at 18:35 | history | answered | jvbraun | CC BY-SA 3.0 |