Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence

DOI10.1214/08-AOS605zbMath1284.62320arXiv0803.3408OpenAlexW3101063317WikidataQ24648436 ScholiaQ24648436MaRDI QIDQ1000304

Iain M. Johnstone

Publication date: 6 February 2009

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

Full work available at URL: https://arxiv.org/abs/0803.3408

zbMATH Keywords

Jacobi polynomials canonical correlation analysis Fredholm determinant random matrix theory characteristic roots Tracy-Widom distribution multivariate analysis of variance soft edge Roy's test largest root Liouville-Green

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20)

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