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.

Install the latest version of this package by entering the following in R:
install.packages("rootWishart")
AuthorMaxime Turgeon [aut, cre]
Date of publication2016-07-13 16:17:16
MaintainerMaxime Turgeon <maxime.turgeon@mail.mcgill.ca>
LicenseGPL (>= 2)
Version0.3.0
http://github.com/turgeonmaxime/rootWishart

View on CRAN

Functions

doubleWishart Man page
singleWishart Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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