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

DOI10.1007/S42081-022-00182-YMaRDI QIDQ2103286zbMATH OpenOpenAlexFDO

Authors Koki Shimizu, Hiroki Hashiguchi

Publication date 13 December 2022

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

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)

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.

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• 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

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Cited in

(4)

• Roy's largest root test under rank-one alternatives
• 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
• Approximation of the power functions of Roy's largest root test under general spiked alternatives

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Uses Software

• MOPS

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