Approximate eigenvalue distribution for the ratio of Wishart matrices

Shusuke Matsubara, Hiroki Hashiguchi
2016 SLUT journal of mathematics  
We discuss approximations for the distribution of eigenvalues of the ratio of Wishart matrices when the population eigenvalues are infinitely dispersed. The first approximation is expressed as the F distribution with suitable parameters, and the second is expressed by the product of F distributions. Numerical examples show that the proposed approximations are more accurate than the known asymptotic expansions of the normal distribution.
doi:10.55937/sut/1482245190 fatcat:3xgqajtqyra6horgktf2kicer4