A new confidence interval for all characteristic roots of a covariance matrix
From MaRDI portal
Publication:2271699
DOI10.1007/s00180-007-0028-1zbMath1193.62043OpenAlexW2040232867MaRDI QIDQ2271699
Fumitake Sakaori, Akihisa Kawamura, Takayuki Yamada, Takakazu Sugiyama
Publication date: 8 August 2009
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-007-0028-1
Related Items
Cites Work
- Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
- Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix
- An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
- The Distribution of the Latent Roots of the Covariance Matrix
- Joint Distribution of the Extreme Roots of a Covariance Matrix
- Unnamed Item
- Unnamed Item
- Unnamed Item