Perturbation inequalities and confidence sets for functions of a scatter matrix.

DOI10.1006/jmva.1997.1724zbMath1127.62375OpenAlexW1972559468MaRDI QIDQ1264501

Lutz Dümbgen

Publication date: 29 September 1998

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/21332/1/beitrag.19.pdf

zbMATH Keywords

eigenvalueprediction erroreigenspacecanonical correlationpartial correlationmultiple correlationscatter matrixextreme rootsFisher's Z-transformationnonlinear, perturbation inequalitysimultaneous confidence bounds.

Mathematics Subject Classification ID

Multivariate analysis (62H99) Parametric tolerance and confidence regions (62F25)

Cites Work

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• On Tyler's \(M\)-functional of scatter in high dimension
• On nondifferentiable functions and the bootstrap
• Likelihood ratio tests for principal components
• Eigenvalue distributions of large Hermitian matrices; Wigner's semi- circle law and a theorem of Kac, Murdock, and Szegö

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