On the distributions of the latent roots and traces of certain random matrices |
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Authors: | A.W. Davis |
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Affiliation: | Division of Mathematical Statistics, C.S.I.R.O., Adelaide, Australia |
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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. |
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Keywords: | 62H10 |
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