Hashiguchi, Hiroki; Numata, Yasuhide; Takayama, Nobuki; … - In: Journal of Multivariate Analysis 117 (2013) C, pp. 296-312
We apply the holonomic gradient method introduced by Nakayama et al. (2011) [23] to the evaluation of the exact distribution function of the largest root of a Wishart matrix, which involves a hypergeometric function 1F1 of a matrix argument. Numerical evaluation of the hypergeometric function...