Application of Random Matrix Theory to Multivariate Statistics

Details Application of Random Matrix Theory to Multivariate Statistics Application of Random Matrix Theory to Multivariate Statistics

2006-03-22

arxiv.org/abs/math/0603543v1

"Random Matrices, Random Processes and Integrable Systems", ed. J. Harnad, Springer, NY, 2011, pgs. 443-507

Mathematics

Probability

Scientific paper

10.1007/978-1-4419-9514-8

This is an expository account of the edge eigenvalue distributions in random
matrix theory and their application in multivariate statistics. The emphasis is
on the Painlev\'e representations of these distributions.

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