Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix

DOI10.1007/BF02532799zbMath0429.62042MaRDI QIDQ1137838

Sadanori Konishi

Publication date: 1977

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

function of latent roots of sample covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

An asymptotic expansion for the distribution of a function of latent roots of the noncentral Wishart matrix, when \(\Omega =0(n)\) ⋮ Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix ⋮ A new confidence interval for all characteristic roots of a covariance matrix ⋮ Asymptotic Distribution of Studentized Contribution Ratio in High-Dimensional Principal Component Analysis

Cites Work

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• An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots
• On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix
• Asymptotic expansions for the joint and marginal distributions of the latent roots of the covariance matrix
• Simultaneous tests for equality of latent roots against certain alternatives. II
• On the ratios of the individual latent roots to the trace of a Wishart matrix
• Simultaneous tests for equality of latent roots against certain alternatives. I
• On a statistic useful in dimensionality reduction in multivariable linear stochastic system
• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
• On the Distribution of the Largest Latent Root of the Covariance Matrix
• Asymptotic Theory for Principal Component Analysis
• Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysis
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples

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