The asymptotic distribution of principal component roots under local alternatives to multiple roots

DOI10.1214/aos/1176346336zbMath0546.62007OpenAlexW1571696237MaRDI QIDQ797929

David E. Tyler

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1214/aos/1176346336

zbMATH Keywords

elliptical distributionslocal power functionaffine-invariant M-estimates of scatterlocal alternatives to multiple population rootsprincipal component rootsspherically invariant random matricestest for subsphericity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52)

Related Items (11)

Asymptotic theory for robust principal components ⋮ Perturbation theory for cross data matrix-based PCA ⋮ On testing the equality of latent roots of scatter matrices under ellipticity ⋮ Sign tests for weak principal directions ⋮ A note on the limiting distribution of certain characteristic roots ⋮ Robust plug-in estimators in proportional scatter models. ⋮ Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix ⋮ Unnamed Item ⋮ On asymptotic normality of cross data matrix-based PCA in high dimension low sample size ⋮ The large sample behaviour of the generalized method of moments estimator in misspecified models ⋮ Asymptotic and bootstrap tests for subspace dimension

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