Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

DOI10.1016/j.jmva.2015.12.012zbMath1333.62143OpenAlexW2214607411MaRDI QIDQ5964285

Francisco J. Caro-Lopera, Graciela M. González-Farías, Narayanaswamy Balakrishnan

Publication date: 29 February 2016

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.12.012

zbMATH Keywords

likelihood ratio statisticselliptical modelssample covariance matrixlatent roots

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (4)

Generalized heterogeneous hypergeometric functions and the distribution of the largest eigenvalue of an elliptical Wishart matrix ⋮ Matrix variate distribution theory under elliptical models -- V: the non-central Wishart and inverted Wishart distributions ⋮ DISTRIBUTION OF THE LARGEST EIGENVALUE OF AN ELLIPTICAL WISHART MATRIX AND ITS SIMULATION ⋮ Modal clustering of matrix-variate data

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• On Certain Distribution Problems Based on Positive Definite Quadratic Functions in Normal Vectors
• The Distribution of the Latent Roots of the Covariance Matrix
• Some Non-Central Distribution Problems in Multivariate Analysis

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