TITLE:
Trace of the Wishart Matrix and Applications
AUTHORS:
T. Pham-Gia, Dinh N. Thanh, Duong T. Phong
KEYWORDS:
Trace, Wishart Matrix, Sphericity, Latent Roots, A-Hypergeometric Functions, Humbert Function
JOURNAL NAME:
Open Journal of Statistics,
Vol.5 No.3,
April
27,
2015
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.