Large sample approximations for the LR statistic for equality of the smallest eigenvalues of a covariance matrix under elliptical population

DOI10.1016/J.CSDA.2007.09.028zbMath1452.62137OpenAlexW2041219089MaRDI QIDQ1023601

Takakazu Sugiyama, Daisuke Watanabe, Susumu Okada, Yasunori Fujikoshi

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.028

zbMATH Keywords

principal component analysislikelihood ratio statisticBartlett correctionelliptical distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Unnamed Item ⋮ Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis

Cites Work

• Unnamed Item
• An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots
• Asymptotic expansion of the joint distribution of sample mean vector and sample covariance matrix from an elliptical population
• Asymptotic expansions for the distributions of multivariate basic statistics and one-way MANOVA tests under non-normality
• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES

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