On variance of sample matrix eigenvalue

DOI10.1080/03610918.2019.1588315zbMath1497.62141OpenAlexW2930543415MaRDI QIDQ5082665

Grzegorz Sitek, Janusz L. Wywiał

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1588315

zbMATH Keywords

variance-covariance matrixcanonical correlationmatrix eigenvalueapproximation of variance

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Bootstrap tests and confidence regions for functions of a covariance matrix
• On the jackknife statistics for eigenvalues and eigenvectors of a correlation matrix
• Distribution of the canonical correlation matrix
• Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations
• Asymptotic expansions for the distributions of the sample roots under nonnormality
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• The effects on the distributions of sample canonical correlations under nonnormality
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