Approximate null distribution of the largest root in multivariate analysis

DOI10.1214/08-AOAS220zbMath1184.62083arXiv1009.5854WikidataQ24601136 ScholiaQ24601136MaRDI QIDQ965131

Iain M. Johnstone

Publication date: 21 April 2010

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

Full work available at URL: https://arxiv.org/abs/1009.5854

zbMATH Keywords

largest eigenvaluemultivariate linear modelcanonical correlationcharacteristic rootTracy-Widom distributionMANOVAequality of covariance matricesgreatest root statistic

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Eigenvalues, singular values, and eigenvectors (15A18)

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Uses Software

• Rmtstat

Cites Work

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