Distribution approximation of covariance matrix eigenvalues

DOI10.1080/03610918.2021.1960998OpenAlexW3194235159MaRDI QIDQ6082995

Shin-ichi Tsukada, Takatoshi Sugiyama

Publication date: 7 December 2023

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

Full work available at URL: https://doi.org/10.1080/03610918.2021.1960998

zbMATH Keywords

eigenvaluesprincipal component analysisWishart matrixchi-squared approximation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
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• Asymptotic Theory for Principal Component Analysis
• APPROXIMATION FOR THE DISTRIBUTION OF THE LARGEST LATENT ROOT OF A WISHART MATRIX*^,1
• Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysis

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