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Direct methods for generating extreme characteristic roots of certain random matrices

 

作者: Mervyn G. Marasinghe,   William J. Kennedy,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1982）
卷期: Volume 11, issue 5  

页码: 527-542

 

ISSN:0361-0918

 

年代: 1982

 

DOI:10.1080/03610918208812273

 

出版商: Marcel Dekker, Inc.

 

关键词: Multivariate;simulation;eigenvalues;Wishart;Beta;algorithm

 

数据来源: Taylor

 

摘要:

Computer generation of extreme characteristic roots of random matrices is considered. The usual approach in Monte-Carlo applications is to randomly generate the matrix and then compute desired characteristic roots. There are, however, theoretical results about the distribution of individual characteristic roots which might be used as a basis for computing algorithms. This alternative approach is considered for the Wishart and Beta matrices.

 

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