On the distribution of the determinant of sample correlation matrix from multivariate Gaussian population (Q789125)
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scientific article; zbMATH DE number 3844833
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the distribution of the determinant of sample correlation matrix from multivariate Gaussian population |
scientific article; zbMATH DE number 3844833 |
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On the distribution of the determinant of sample correlation matrix from multivariate Gaussian population (English)
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1983
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In this paper the exact distribution of the determinant of the sample correlation matrix from a multivariate Gaussian distribution is derived. The method of inverse Mellin transform has been used and the densities are obtained in a simple computable form for even and odd sample sizes. Further, asymptotic results are also given. (From authors' summary.)
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G-function
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distribution of determinant of correlation matrix
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multivariate Gaussian distribution
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inverse Mellin transform
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