On a statistic useful in dimensionality reduction in multivariable linear stochastic system

DOI10.1080/03610927608827389zbMath0347.62039OpenAlexW2040609383MaRDI QIDQ4117239

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Publication date: 1976

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

Full work available at URL: https://doi.org/10.1080/03610927608827389

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)

Related Items (9)

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix ⋮ A memory-based method to select the number of relevant components in principal component analysis ⋮ Selection of components in principal component analysis: A comparison of methods ⋮ Using observed confidence levels to perform principal component analyses ⋮ Some comments on a bridge between nonlinear dynamicists and statisticians ⋮ Asymptotic expansions for the distributions of some functions of the latent roots of matrices in three situations ⋮ Asymptotic expansions for the distributions of statistics based on a correlation matrix ⋮ Second-order accurate inference on eigenvalues of covariance and correlation matrices

Cites Work

• Distributions of the largest latent root of the multivariate complex Gaussian distribution
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Autoregressive model fitting for control
• Applications of principal component analysis and factor analysis in the identification of multivariable systems
• Dimensionality reduction in multivariable stochastic systems
• 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
• A new look at the statistical model identification

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