Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative

DOI10.1007/S42081-022-00182-YzbMATH Open1499.62033arXiv2205.11776OpenAlexW4281571582MaRDI QIDQ2103286FDOQ2103286

Authors: Koki Shimizu, Hiroki Hashiguchi 

Publication date: 13 December 2022

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Abstract: This paper discusses the computation of exact powers for Roy's test in multivariate analysis of variance~(MANOVA). We derive an exact expression for the largest eigenvalue of a singular noncentral Beta matrix in terms of the product of zonal polynomials. The numerical computation for that distribution is conducted by an algorithm that expands the product of zonal polynomials as a linear combination of zonal polynomials. Furthermore, we provide an exact distribution of the largest eigenvalue in a form that is convenient for numerical calculations under the linear alternative.

Full work available at URL: https://arxiv.org/abs/2205.11776

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zbMATH Keywords

MANOVAzonal polynomialselementary symmetric functionssingular random matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multivariate distribution of statistics (62H10)

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Uses Software

• MOPS

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