On the Distribution of the Largest Latent Root of the Covariance Matrix

DOI10.1214/AOMS/1177698783zbMATH Open0161.38301OpenAlexW1986844693MaRDI QIDQ5543906FDOQ5543906

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Publication date: 1967

Published in: Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177698783

zbMATH Keywords

statistics

Cited In (22)

• The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
• Generalized heterogeneous hypergeometric functions and the distribution of the largest eigenvalue of an elliptical Wishart matrix
• Laplace approximations for hypergeometric functions with matrix argument
• Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
• Tracking signal subspace invariance for blind separation and classification of nonorthogonal sources in correlated noise
• 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
• On the distribution of the function of the F-matrix under an elliptical population
• On the exact distribution of the smallest root of the Wishart matrix using zonal polynomials
• Asymptotic behavior of the distributions of eigenvalues for beta-Wishart ensemble under the dispersed population eigenvalues
• Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix
• Invariant Polynomials and Related Tests
• Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix
• Simultaneous tests for equality of latent roots against certain alternatives. II
• Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix
• On the distribution of the latent roots of a positive definite random symmetric matrix. I
• Title not available (Why is that?)
• Distribution approximation of covariance matrix eigenvalues
• On a statistic useful in dimensionality reduction in multivariable linear stochastic system
• Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
• Distribution of the largest eigenvalue of an elliptical Wishart matrix and its simulation

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