On the ratios of the individual latent roots to the trace of a Wishart matrix

DOI10.1016/0047-259X(72)90037-1zbMath0252.62029OpenAlexW2058898235MaRDI QIDQ2557529

A. W. Davis

Publication date: 1972

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(72)90037-1

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15)

Related Items

Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix ⋮ On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix ⋮ The difference between two random mixed quantum states: exact and asymptotic spectral analysis ⋮ Inference on covariance matrices under rank restrictions ⋮ Selection of components in principal component analysis: A comparison of methods ⋮ Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix ⋮ On the Distribution of a Scaled Condition Number ⋮ On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix ⋮ Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution ⋮ Asymptotic expansions for the distributions of statistics based on a correlation matrix ⋮ Direct methods for generating extreme characteristic roots of certain random matrices ⋮ On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix ⋮ Tail probabilities of the maxima of multilinear forms and their applications. ⋮ Recursion scheme for the largest $\beta$ -Wishart–Laguerre eigenvalue and Landauer conductance in quantum transport

Cites Work

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• Simultaneous tests for equality of latent roots against certain alternatives. I
• On the distributions of the latent roots and traces of certain random matrices
• On the Null Distribution of the Sum of the Roots of a Multivariate Beta Distribution
• Exact joint distributions of any few ordered roots of a class of random matrices

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