Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots (Q5964285)
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scientific article; zbMATH DE number 6546988
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots |
scientific article; zbMATH DE number 6546988 |
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Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots (English)
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29 February 2016
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likelihood ratio statistics
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elliptical models
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sample covariance matrix
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latent roots
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0.88514996
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0.8664295
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0.8614756
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0.85825205
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0.85556424
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0.8549012
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The object of this paper is a generalization of the classical work on distributions of the latent roots of a sample covariance matrix under the case of elliptical models. The author derives the distributions of the largest and smallest latent roots from a sample covariance matrix under an elliptical model.NEWLINENEWLINEIn the same time he also ``corrects some erroneous results concerning zonal polynomials present in the literature''.
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