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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

2 votes
1 answer
238 views

Independence of Eigenvalues of Wishart

This question regards a previous post, but it is not immediately obvious the two are related, so I ask it anyways: are the eigenvalues of a Wishart matrix $\mathbf{S}$ $=$ $\frac{1}{N}\frac{\mathbf{X' …
Joshua D Carmichael's user avatar
4 votes
0 answers
968 views

Probability distribution function for singular value sum of Gaussian random matrix

Let $\mathbf{X}$ be an $N \times N$ random matrix with IID Gaussian entries. They can be standard normal, but $N$ is not large: that is $N$ $<$ 6, typically. Call its singular value decomposition (SVD …
Joshua D Carmichael's user avatar