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

DOI10.1016/0047-259X(71)90032-7zbMath0224.62022MaRDI QIDQ5630488

No author found.

Publication date: 1971

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

zbMATH Keywords

Wishart matrixmultivariate analysis of varianceextreme rootsExact distributions

Mathematics Subject Classification ID

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

Related Items (24)

A new approximation to the distribution function of the studentized maximum root ⋮ Detection of outliers in signal processing and detection of number of signals in presence of outliers ⋮ Exact joint distributions of any few ordered roots of a class of random matrices ⋮ Detection of outliers in linear model when the regression parameters are stochastic ⋮ On the exact distribution of the smallest root of the Wishart matrix using zonal polynomials ⋮ Exact and approximate computation of critical values of the largest root test in high dimension ⋮ Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix ⋮ Hoffmann-Jørgensen inequalities for random walks on the cone of positive definite matrices ⋮ Detection of outliers in growth curve models ⋮ Inference on covariance matrices under rank restrictions ⋮ Condition numbers of random matrices ⋮ Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT ⋮ On the singular values of Gaussian 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 ⋮ Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution ⋮ In memoriam: Paruchuri Rama Krishnaiah (1932--1987). A tribute ⋮ On the distributions of the latent roots and traces of certain random matrices ⋮ Direct methods for generating extreme characteristic roots of certain random matrices ⋮ 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 ⋮ Exact probabilities of obtaining estimated non-positive definite between-group covariance 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

Cites Work

• Some Results Useful in Multivariate Analysis
• On the statistical properties of the level-spacings in nuclear spectra
• Random Matrices in Physics
• On the Distribution of the Largest Latent Root and the Corresponding Latent Vector for Principal Component Analysis
• Theorem Relating the Eigenvalue Density for Random Matrices to the Zeros of the Classical Polynomials
• On the Distribution of the Largest Root of a Matrix in Multivariate Analysis
• Distribution of the Largest Latent Root and the Smallest Latent Root of the Generalized $B$ Statistic and $F$ Statistic in Multivariate Analysis
• Joint Distribution of the Extreme Roots of a Covariance Matrix
• ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
• Distribution of a Root of a Determinantal Equation
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