Distribution approximation of covariance matrix eigenvalues
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Cites work
- A NON-PARAMETRIC METHOD TO TEST EQUALITY OF INTERMEDIATE LATENT ROOTS OF TWO POPULATIONS IN A PRINCIPAL COMPONENT ANALYSIS
- An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
- Applied multivariate statistical analysis.
- APPROXIMATION FOR THE DISTRIBUTION OF THE LARGEST LATENT ROOT OF A WISHART MATRIX*,1
- Asymptotic expansions for the distributions of the sample roots under nonnormality
- Asymptotic Theory for Principal Component Analysis
- Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysis
- Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
- Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix
- Numerical computation on distributions of the largest and the smallest latent roots of the Wishart matrix
- On the Distribution of the Largest Latent Root of the Covariance Matrix
- The efficient evaluation of the hypergeometric function of a matrix argument
- The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
Cited in
(5)- Eigenvalues distribution limit of covariance matrices with AR processes entries
- scientific article; zbMATH DE number 3921758 (Why is no real title available?)
- scientific article; zbMATH DE number 2147973 (Why is no real title available?)
- Eigenvalue distribution of large sample covariance matrices of linear processes
- Approximate distribution of eigenvalues of a generalized Wishart matrix under an extended Gaussian model
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