Joint Distribution of the Extreme Roots of a Covariance Matrix

DOI10.1214/aoms/1177697108zbMath0212.51102OpenAlexW2055317087MaRDI QIDQ5614360

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Publication date: 1970

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177697108

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)

Related Items (13)

Least upper bound for the covariance matrix of a generalized least squares estimator in regression with applications to a seemingly unrelated regression model and a heteroscedastic model ⋮ On the exact distributions of the extreme roots of the Wishart and MANOVA matrices ⋮ Algorithm for the product of Jack polynomials and its application to the sphericity test ⋮ Unnamed Item ⋮ On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix ⋮ Invariant Polynomials and Related Tests ⋮ Simultaneous tests for equality of latent roots against certain alternatives. II ⋮ A new confidence interval for all characteristic roots of a covariance matrix ⋮ Some implications of the union-intersection principle for tests of sphericity ⋮ Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution ⋮ Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative ⋮ Tables for the extreme roots of the wishart matrix ⋮ A selection procedure for estimating the number of signal components

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