Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix

DOI10.1007/BF02480916zbMath0458.62045MaRDI QIDQ1151694

Sadanori Konishi, Takakazu Sugiyama

Publication date: 1981

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

sample covariance matrix; normalizing transformations; latent roots of Wishart matrix; normal sample

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62F25: Parametric tolerance and confidence regions

62E20: Asymptotic distribution theory in statistics

Related Items

Unnamed Item, A new confidence interval for all characteristic roots of a covariance matrix

Cites Work

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• Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
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• Asymptotic expansions for the distributions of some functions of the latent roots of matrices in three situations
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• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
• On the Distribution of the Largest Latent Root of the Covariance Matrix
• 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