rootWishart: Distribution of Largest Root for Single and Double Wishart
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.
Please use the canonical form
to link to this page.