Large sample approximations for the LR statistic for equality of the smallest eigenvalues of a covariance matrix under elliptical population

DOI10.1016/J.CSDA.2007.09.028MaRDI QIDQ1023601zbMATH OpenOpenAlexFDO

Authors Daisuke Watanabe, S. Okada, Yasunori Fujikoshi, Takakazu Sugiyama

Publication date 12 June 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2007.09.028

zbMATH Keywords

Bartlett correctionelliptical distributionlikelihood ratio statisticprincipal component analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots
• Asymptotic expansion of the joint distribution of sample mean vector and sample covariance matrix from an elliptical population
• Asymptotic expansions for the distributions of multivariate basic statistics and one-way MANOVA tests under non-normality
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES

Cited in

(4)

• Testing for principal component directions under weak identifiability
• Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis
• scientific article; zbMATH DE number 7387522 (Why is no real title available?)
• A better approximation of moments of the eigenvalues and eigenvectors of the sample covariance matrix

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