Accurary of the tracy of the tracy-widom limit for extreme eigenvalues in white wishatt matrices

来源 :IMS-China International Conference on Statistics and Probabi | 被引量 : 0次 | 上传用户:cyx810625
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  Let A be a p-variate Wishart matrix on n degrees of freedom with identity co variance.The distributions of extreme eigenvalues of A have important applications in multivariate statistics.Consider the asymptotics when p grows in proportion to n, it is known from existing work that after centering and scaling, these distributions approach the orthogonal Tracy-Widom law for real and unitary Tracy-Widom law for complex valued data, both of which can be numerically evaluated and tabulated in software.Under the same assumption, we show that a carefully chosen transformation improves the accuracy of the Tracy-Widom limit to second order: O(min(n, p)(-2/3)).The accuracy results are valid for both complex and real valued data.Together with the numerical simulation, it implies that the Tracy-Widom law is an attractive approximation to the distributions of these extreme eigenvalues, which is important for using the approximation in practice.
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