rootWishart: Distribution of Largest Root for Single and Double Wishart Settings
Version 0.4.0

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) and Chiani (2016) . 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.

Getting started

Package details

AuthorMaxime Turgeon [aut, cre]
Date of publication2017-04-30 22:30:30 UTC
MaintainerMaxime Turgeon <maxime.turgeon@mail.mcgill.ca>
LicenseGPL (>= 2)
Version0.4.0
URL http://github.com/turgeonmaxime/rootWishart
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("rootWishart")

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rootWishart documentation built on May 30, 2017, 3:31 a.m.