Procedures To Generate Random Matrices With Noncentral Distributions
Procedures are given for efficiently generating the non-central distributions of (I) random matrices. (2) the characteristic roots of random matrices, and (3) the determinant of random matrices. In particular, procedures are given to generate matrices which have the Wp (n,V,M) distribution. © 1974, Taylor & Francis Group, LLC. All rights reserved.
D. E. Johnson and V. Hegemann, "Procedures To Generate Random Matrices With Noncentral Distributions," Communications in Statistics, vol. 3, no. 7, pp. 691 - 699, Taylor and Francis Group, Jan 1974.
The definitive version is available at https://doi.org/10.1080/03610927408827169
Mathematics and Statistics
Keywords and Phrases
characteristic roots and determinants; Monte Carlo multivariate statistics; noncentral Wishart distributions
International Standard Serial Number (ISSN)
Article - Journal
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01 Jan 1974