Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix

DOI10.1007/BF02480916zbMath0458.62045OpenAlexW1995371845MaRDI QIDQ1151694

Sadanori Konishi, Takakazu Sugiyama

Publication date: 1981

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02480916

zbMATH Keywords

sample covariance matrixnormalizing transformationslatent roots of Wishart matrixnormal sample

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Distribution approximation of covariance matrix eigenvalues ⋮ Unnamed Item ⋮ A new confidence interval for all characteristic roots of a covariance matrix

Cites Work

• Unnamed Item
• Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
• Asymptotic expansions for the joint and marginal distributions of the latent roots of the covariance matrix
• Expressions for some hypergeometric functions of matrix argument with applications
• Latent roots and matrix variates: a review of some asymptotic results
• Asymptotic expansions for the distributions of some functions of the latent roots of matrices in three situations
• An approximation to the distribution of the sample correlation coefficient
• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
• On the Distribution of the Largest Latent Root of the Covariance Matrix
• APPROXIMATION FOR THE DISTRIBUTION OF THE LARGEST LATENT ROOT OF A WISHART MATRIX*^,1
• Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysis

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