rootWishart: Distribution of Largest Root for Single and Double Wishart Settings

Functions for hypothesis testing in single and double Wishart settings, based on Roy's largest root. This test statistic is especially useful in multivariate analysis. The computations are based on results by Chiani (2014) <DOI:10.1016/j.jmva.2014.04.002> and Chiani (2016) <DOI:10.1016/j.jmva.2015.10.007>. They use the fact that the CDF is related to the Pfaffian of a matrix that can be computed in a finite number of iterations. This package takes advantage of the Boost and Eigen C++ libraries to perform multi-precision linear algebra.

Author
Maxime Turgeon [aut, cre]
Date of publication
2016-07-13 16:17:16
Maintainer
Maxime Turgeon <maxime.turgeon@mail.mcgill.ca>
License
GPL (>= 2)
Version
0.3.0
URLs

View on CRAN

Man pages

largestRoot
Distribution of the largest root

Files in this package

rootWishart
rootWishart/src
rootWishart/src/Makevars
rootWishart/src/singleWishart.cpp
rootWishart/src/Makevars.win
rootWishart/src/doubleWishart.cpp
rootWishart/src/RcppExports.cpp
rootWishart/NAMESPACE
rootWishart/NEWS.md
rootWishart/R
rootWishart/R/utility.R
rootWishart/R/functions.R
rootWishart/R/RcppExports.R
rootWishart/R/zzz.R
rootWishart/README.md
rootWishart/MD5
rootWishart/DESCRIPTION
rootWishart/man
rootWishart/man/largestRoot.Rd