Exact sampling distribution of the general case sample correlation matrix

DOI10.1080/03610926.2023.2244622MaRDI QIDQ6588669

Nicy Sebastian, T. Princy

Publication date: 16 August 2024

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15) Random matrices (probabilistic aspects) (60B20) Integration of real functions of several variables: length, area, volume (26B15)

Cites Work

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• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
• Asymptotic expansions for the distributions of statistics based on the sample correlation matrix in principal component analysis
• Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• Approximations to the distribution of the sample correlation matrix
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Determinant of sample correlation matrix with application
• Special Functions for Applied Scientists
• Distribution of the determinant of the sample correlation matrix from a mixture normal model
• On the singular gamma, Wishart, and beta matrix‐variate density functions

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