Inference on eigenvalues of Wishart distribution using asymptotics with respect to the dispersion of population eigenvalues

zbMATH Open1192.62071arXiv0704.2278MaRDI QIDQ3580845FDOQ3580845

Authors: Yo Sheena, Akimichi Takemura 

Publication date: 13 August 2010

Abstract: In this paper we derive some new and practical results on testing and interval estimation problems for the population eigenvalues of a Wishart matrix based on the asymptotic theory for block-wise infinite dispersion of the population eigenvalues. This new type of asymptotic theory has been developed by the present authors in Takemura and Sheena (2005) and Sheena and Takemura (2007a,b) and in these papers it was applied to point estimation problem of population covariance matrix in a decision theoretic framework. In this paper we apply it to some testing and interval estimation problems. We show that the approximation based on this type of asymptotics is generally much better than the traditional large-sample asymptotics for the problems.

Full work available at URL: https://arxiv.org/abs/0704.2278

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• Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
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• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed
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zbMATH Keywords

Wishart distributioneigenvalues of covariance matricesinterval estimation of eigenvaluestest on eigenvalues

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Hypothesis testing in multivariate analysis (62H15) Eigenvalues, singular values, and eigenvectors (15A18)

Cited In (4)

• Approximate eigenvalue distribution for the ratio of Wishart matrices
• Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed

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