An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
From MaRDI portal
Publication:5344597
DOI10.1214/aoms/1177699989zbMath0134.15001OpenAlexW2045848426MaRDI QIDQ5344597
Publication date: 1965
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177699989
Related Items
Bayesian analysis of the error correction model ⋮ A regularized profile likelihood approach to covariance matrix estimation ⋮ An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots ⋮ Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix ⋮ Distribution approximation of covariance matrix eigenvalues ⋮ Spectral Bayesian network theory ⋮ Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix ⋮ Unnamed Item ⋮ Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view ⋮ A New Approach for Detecting Multivariate Outliers ⋮ Expressions for some hypergeometric functions of matrix argument with applications ⋮ Invariant Polynomials and Related Tests ⋮ Power Function Studies ⋮ A new confidence interval for all characteristic roots of a covariance matrix ⋮ On an asymptotic distribution of the characteristic roots of \(S_1S^{- 1}_2\) when roots are not all distinct ⋮ Asymptotic distributions of the latent roots of the covariance matrix with multiple population roots ⋮ Asymptotic expansions for distributions of latent roots in multivariate analysis ⋮ Asymptotic expansions of the distributions of the latent roots and the latent vector of the Wishart and multivariate F matrices ⋮ Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution ⋮ Tests for linear trend in the smallest eigenvalues of the correlation matrix ⋮ Laplace approximation for Bessel functions of matrix argument ⋮ The distribution of the ratios of characteristic roots (condition numbers) and their applications in principal component or ridge regression ⋮ A local parameterization of orthogonal and semi-orthogonal matrices with applications ⋮ Partial differential equations for hypergeometric functions of two argument matrices ⋮ Simultaneous tests for equality of latent roots against certain alternatives. I ⋮ Eigenvalues of Random Matrices with Isotropic Gaussian Noise and the Design of Diffusion Tensor Imaging Experiments ⋮ Statistical analysis on high-dimensional spheres and shape spaces
This page was built for publication: An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
