The holonomic gradient method for the distribution function of the largest root of a Wishart matrix.
Hiroki HashiguchiYasuhide NumataNobuki TakayamaAkimichi TakemuraPublished in: J. Multivar. Anal. (2013)
Keyphrases
- distribution function
- gradient method
- symmetric positive definite
- positive definite
- convergence rate
- random variables
- optimization methods
- step size
- cumulative distribution functions
- density function
- negative matrix factorization
- covariance matrix
- principal component analysis
- high dimensional
- graphical models
- matrix factorization