An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
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Publication:5344597
DOI10.1214/AOMS/1177699989zbMATH Open0134.15001OpenAlexW2045848426MaRDI QIDQ5344597FDOQ5344597
Authors: George A. Anderson
Publication date: 1965
Published in: Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177699989
Cited In (28)
- Partial differential equations for hypergeometric functions of two argument matrices
- Asymptotic expansions of the distributions of the latent roots and the latent vector of the Wishart and multivariate F matrices
- Eigenvalues of Random Matrices with Isotropic Gaussian Noise and the Design of Diffusion Tensor Imaging Experiments
- Asymptotic expansions for distributions of latent roots in multivariate analysis
- Tests for linear trend in the smallest eigenvalues of the correlation matrix
- A local parameterization of orthogonal and semi-orthogonal matrices with applications
- On an asymptotic distribution of the characteristic roots of \(S_1S^{- 1}_2\) when roots are not all distinct
- An asymptotic expansion for the distributions of the latent roots of the Wishart matrix with multiple population roots
- Invariant Polynomials and Related Tests
- Asymptotic distributions of the latent roots of the covariance matrix with multiple population roots
- Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
- Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix
- Laplace approximation for Bessel functions of matrix argument
- Bayesian analysis of the error correction model
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- A new confidence interval for all characteristic roots of a covariance matrix
- Distribution approximation of covariance matrix eigenvalues
- A regularized profile likelihood approach to covariance matrix estimation
- Inference on the eigenvalues of the normalized precision matrix
- A New Approach for Detecting Multivariate Outliers
- Expressions for some hypergeometric functions of matrix argument with applications
- Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view
- Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
- Statistical analysis on high-dimensional spheres and shape spaces
- Simultaneous tests for equality of latent roots against certain alternatives. I
- Spectral Bayesian network theory
- The distribution of the ratios of characteristic roots (condition numbers) and their applications in principal component or ridge regression
- Power Function Studies
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