Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
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Publication:1000304
DOI10.1214/08-AOS605zbMath1284.62320arXiv0803.3408WikidataQ24648436 ScholiaQ24648436MaRDI QIDQ1000304
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
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
62H10: Multivariate distribution of statistics
62E20: Asymptotic distribution theory in statistics
60B20: Random matrices (probabilistic aspects)