Distribution of eigenvalues in multivariate statistical analysis

DOI10.1214/AOS/1176346149MaRDI QIDQ1053394zbMATH OpenOpenAlexFDO

Authors Hans K. Brons, Steen A. Andersson, Søren Tolver Jensen

Publication date 1983

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346149

zbMATH Keywords

invariant measuresmaximum likelihood estimatorsreal structurecomplex structuredistribution of eigenvalueslikelihood ratio test statisticsquaternion structuremaximal invariant statisticstructure of covariance matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Foundations and philosophical topics in statistics (62A01) Hypothesis testing in multivariate analysis (62H15)

Cited in

(32)

• Star-shaped distributions and their generalizations
• Statistical analysis of cointegration vectors
• Symmetry and lattice conditional independence in a multivariate normal distribution
• General canonical correlations with applications to group symmetry models
• An expectation formula for the multivariate Dirichlet distribution
• Some nonparametric asymptotic results for a class of stochastic processes
• Bootstrap tests for time varying cointegration
• Wishart distributions on homogeneous cones
• Nonparametric cointegration analysis
• On non-null distributions connected with testing that a real normal distribution is complex
• Estimation of proportional covariances in the presence of certain linear restrictions.
• A likelihood ratio test for equality of natural parameters for generalized Riesz distributions
• On the asymptotic behaviour of random matrices in a multivariate statistical model
• Two testing problems relating the real and complex multivariate normal distributions
• Nonstationary dynamic factor analysis
• A numerical procedure for finding the positive definite matrix closest to a patterned matrix
• A test for the equality of the direction parameters in a sample from the N-dimensional hyperboloid distribution
• Estimation of means in graphical Gaussian models with symmetries
• Sufficiency, ancillarity and independence in invariant models
• Extreme points of the Vandermonde determinant and Wishart ensemble on symmetric cones
• Explicit estimators under m-dependence for a multivariate normal distribution
• Time-varying cointegration
• New results on the convergence of random matrices
• Model selection in the space of Gaussian models invariant by symmetry
• Asymptotic Distributions of Test Statistics for Matrices Concerning Elliptical Distributions
• Asymptotic normality under transformations. A result with Bayesian applications
• Asymptotic distributions of likelihood ratio criteria for two testing problems
• Entropy inequalities for some multivariate distributions
• On the unitary diagonalisation of a special class of quaternion matrices
• Random matrices with complex Gaussian entries
• Maximal invariants for Lorentz-Wishart models
• The Wishart distribution on symmetric cones

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