Sampling Spiked Wishart Eigenvalues

Abstract: Efficient schemes for sampling from the eigenvalues of the Wishart distribution have recently been described for both the uncorrelated central case (where the covariance matrix is $\mathbf{I}$) and the spiked Wishart with a single spike (where the covariance matrix differs from $\mathbf{I}$ in a single entry on the diagonal). Here, we generalize these schemes to the spiked Wishart with an arbitrary number of spikes. This approach also applies to the spiked pseudo-Wishart distribution. We describe how to differentiate this procedure for the purposes of stochastic gradient descent, allowing the fitting of the eigenvalue distribution to some target distribution.