On the exact distributions of the extreme roots of the Wishart and MANOVA matrices

DOI10.1016/0047-259X(71)90032-7MaRDI QIDQ5630488zbMATH OpenFDO

Authors

Publication date 1971

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

Full work available at URL https://doi.org/10.1016/0047-259X(71)90032-7

zbMATH Keywords

Exact distributionsextreme rootsmultivariate analysis of varianceWishart matrix

Mathematics Subject Classification ID

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

Recommendations

• Eigenvalue distributions of beta-Wishart matrices
• EXACT DISTRIBUTION OF CERTAIN GENERAL TEST STATISTICS IN MULTIVARIATE ANALYSIS
• Numerical computation on distributions of the largest and the smallest latent roots of the Wishart matrix
• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
• scientific article; zbMATH DE number 527317

Cites work

• Distribution of a Root of a Determinantal Equation
• Distribution of the Largest Latent Root and the Smallest Latent Root of the Generalized B Statistic and F Statistic in Multivariate Analysis
• scientific article; zbMATH DE number 1234098 (Why is no real title available?)
• scientific article; zbMATH DE number 3253563 (Why is no real title available?)
• scientific article; zbMATH DE number 3106854 (Why is no real title available?)
• Joint Distribution of the Extreme Roots of a Covariance Matrix
• ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
• On the Distribution of the Largest Latent Root and the Corresponding Latent Vector for Principal Component Analysis
• On the Distribution of the Largest Root of a Matrix in Multivariate Analysis
• On the statistical properties of the level-spacings in nuclear spectra
• Random Matrices in Physics
• Some Results Useful in Multivariate Analysis
• Theorem Relating the Eigenvalue Density for Random Matrices to the Zeros of the Classical Polynomials

Cited in

(31)

• Condition numbers of random matrices
• Minimax and admissible minimax estimators of the mean of a multivariate normal distribution for unknown covariance matrix
• On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix
• On the exact distribution of the smallest root of the Wishart matrix using zonal polynomials
• Asymptotic joint distribution of the largest roots of several multivariate F matrices. I: Quasi-independent case
• On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix
• Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
• In memoriam: Paruchuri Rama Krishnaiah (1932--1987). A tribute
• Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
• Multiple discoveries: distribution of roots of determinantal equations
• On the distributions of the latent roots and traces of certain random matrices
• Detection of outliers in signal processing and detection of number of signals in presence of outliers
• scientific article; zbMATH DE number 3921758 (Why is no real title available?)
• A new approximation to the distribution function of the studentized maximum root
• Exact probabilities of obtaining estimated non-positive definite between-group covariance matrices
• Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
• scientific article; zbMATH DE number 527317 (Why is no real title available?)
• Detection of outliers in growth curve models
• Differential relations for the largest root distribution of complex non-central Wishart matrices
• Direct methods for generating extreme characteristic roots of certain random matrices
• Percentage points of the joint distribution of the extreme roots of the random matrix S₁(S₁+S₂)⁻¹
• Tables for the extreme roots of the wishart matrix
• Detection of outliers in linear model when the regression parameters are stochastic
• Numerical computation on distributions of the largest and the smallest latent roots of the Wishart matrix
• Exact joint distributions of any few ordered roots of a class of random matrices
• On the singular values of Gaussian random matrices
• Exact and approximate computation of critical values of the largest root test in high dimension
• Hoffmann-Jørgensen inequalities for random walks on the cone of positive definite matrices
• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
• The smallest eigenvalue of -Laguerre and -Jacobi ensembles and multivariate orthogonal polynomials
• Inference on covariance matrices under rank restrictions

This page was built for publication: On the exact distributions of the extreme roots of the Wishart and MANOVA matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5630488)