On the Exact Distributions of the Extreme Roots of the Wishart and MANOVA Matrices.
AEROSPACE RESEARCH LABS WRIGHT-PATTERSON AFB OHIO
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The authors give exact expressions for the probability distribution functions of the extreme roots of the Wishart and MANOVA matrices by making use of an elegant method of Mehta for the evaluation of certain integral. Some remarks are also made as to how to evaluate the cumulative distribution functions of these distributions. The expressions obtained are in terms of pfaffian square roots of the determinants of skew symmetric matrices of even order here the authors note that a pfaffian can be expressed as a polynomial and so the expressions obtained here are useful for computational purposes. Author
- Statistics and Probability