Title

Exact Distributional Computations for Roy's Statistic and the Largest Eigenvalue of a Wishart Distribution

Editor(s)

Girolami, Mark

Abstract

Computational expressions for the exact CDF of Roy's test statistic in MANOVA and the largest eigenvalue of a Wishart matrix are derived based upon their Pfaffian representations given in Gupta and Richards (SIAM J. Math. Anal. 16:852-858, 1985). These expressions allow computations to proceed until a prespecified degree of accuracy is achieved. For both distributions, convergence acceleration methods are used to compute CDF values which achieve reasonably fast run times for dimensions up to 50 and error degrees of freedom as large as 100. Software that implements these computations is described and has been made available on the Web.

Department(s)

Mathematics and Statistics

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2011 Springer Verlag, All rights reserved.


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