Largest Eigenvalues and Sample Covariance Matrices. Tracy-widom and Painlevé Ii: Computational Aspects and Realization in S-plus with Applications
نویسنده
چکیده
Distributions of the largest eigenvalues of Wishart covariance matrices corresponding to the large size data matrices are studied in this paper by reviewing the most recent results on this topic. Special attention is paid to the corresponding asymptotic laws – Tracy-Widom distributions, and their realizations in S-Plus. A further look at the practical aspects of the results studied in the paper is taken by considering some examples and discussing appearing difficulties and open problems.
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