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

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

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)

Cites Work

• MOPS: multivariate orthogonal polynomials (symbolically)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some Non-Central Distribution Problems in Multivariate Analysis
• Methods of multivariate analysis
• Title not available (Why is that?)
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• Singular Wishart and multivariate beta distributions
• Multivariate Statistics
• Calculation of Zonal Polynomial Coefficients by Use of the Laplace-Beltrami Operator
• Proof of the conjectures of H. Uhlig on the singular multivariate beta and the Jacobian of a certain matrix transformation
• On the Distribution of the Largest Latent Root of the Covariance Matrix
• Singular matrix variate beta distribution
• On the Non-Central Distributions of Two Test Criteria in Multivariate Analysis of Variance
• Exact Density Functions and Approximate Critical Regions for Likelihood Ratio Identifiability Test Statistics
• Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance
• On the distribution of the maximum latent root of a positive definite symmetric random matrix
• The Linearization of the Product of Two Zonal Polynomials
• Joint Distribution of the Extreme Roots of a Covariance Matrix
• Calculation and properties of zonal polynomials
• Roy’s largest root test under rank-one alternatives
• Matrix variate distribution theory under elliptical models -- V: the non-central Wishart and inverted Wishart distributions
• Doubly singular matrix variate beta type I and II and singular inverted matricvariate \(t\) distributions
• Non-central distributions of the largest latent roots of three matrices in multivariate analysis
• Algorithm for the product of Jack polynomials and its application to the sphericity test
• Exact distributions of two non-central generalized Wilks's statistics
• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
• Exact and approximate computation of critical values of the largest root test in high dimension

Uses Software

• MOPS

   Recommendations

• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution 👍 👎
• Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance 👍 👎
• Roy’s largest root test under rank-one alternatives 👍 👎
• Approximation of the power functions of Roy’s largest root test under general spiked alternatives 👍 👎
• NUMERICAL COMPUTATION ON DISTRIBUTIONS OF THE LARGEST AND THE SMALLEST LATENT ROOTS OF THE WISHART MATRIX 👍 👎

This page was built for publication: Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103286)