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Register a new userDistribution of ratio of two Wishart matrices and evaluation of cumulative probability by holonomic gradient method
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Added by
Akimichi Takemura
Publication date
2016
fields
Mathematical Statistics
and research's language is
English
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We study the distribution of the ratio of two central Wishart matrices with different covariance matrices. We first derive the density function of a particular matrix form of the ratio and show that its cumulative distribution function can be expressed in terms of the hypergeometric function 2F1 of a matrix argument. Then we apply the holonomic gradient method for numerical evaluation of the hypergeometric function. This approach enables us to compute the power function of Roys maximum root test for testing the equality of two covariance matrices.
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