Trace of the Wishart Matrix and Applications

T. Pham-Gia^1*, Dinh N. Thanh², Duong T. Phong³

¹Université de Moncton, Moncton, Canada.
²University of Science, Hochiminh City, Vietnam.
³Ton Duc Thang University, Hochiminh City, Vietnam.

DOI: 10.4236/ojs.2015.53021                

Abstract

The trace of a Wishart matrix, either central or non-central, has important roles in various multi-variate statistical questions. We review several expressions of its distribution given in the literature, establish some new results and provide a discussion on computing methods on the distribution of the ratio: the largest eigenvalue to trace.

Keywords

Trace, Wishart Matrix, Sphericity, Latent Roots, A-Hypergeometric Functions, Humbert Function

Conflicts of Interest

The authors declare no conflicts of interest.

References

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