Asymptotic expansions for the distributions of statistics based on a correlation matrix
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Publication:4179686
DOI10.2307/3314825zbMath0396.62035OpenAlexW2056776140MaRDI QIDQ4179686
Publication date: 1978
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3314825
Principal Component AnalysisAsymptotic ExpansionMultivariate Normal DistributionWishart DistributionCorrelation MatrixDimensionality ReductionLatent Root
Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)
Related Items (5)
Principal Eigenportfolios for U.S. Equities ⋮ Model-based principal components of correlation matrices ⋮ Effect of a Shrinkage Estimator on the Linear Discriminant Function ⋮ Asymptotic expansions for the distributions of functions of a correlation matrix ⋮ Second-order accurate inference on eigenvalues of covariance and correlation matrices
Cites Work
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- On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix
- On the ratios of the individual latent roots to the trace of a Wishart matrix
- On a statistic useful in dimensionality reduction in multivariable linear stochastic system
- Asymptotic Theory for Principal Component Analysis
- Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysis
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