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On the distributions of the latent roots and traces of certain random matrices
Authors:AW Davis
Institution:Division of Mathematical Statistics, C.S.I.R.O., Adelaide, Australia
Abstract:It is shown that differential equations given by the author may be used recursively to construct certain multivariate null distributions in reduced form. These include the distributions of individual latent roots of B = S1(S1 + S2)−1, and distributions of Tr B and Tr S1S2−1, for small numbers of variates.
Keywords:62H10
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