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) 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.

R package that implements Chiani's iterative algorithms for computing the distribution of the largest root in single and double Wishart settings.

Installation

This package is now available on CRAN. Alternatively, you can install from GitHub using the devtools package:

library(devtools)
devtools::install_github('turgeonmaxime/rootWishart')