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)

zbMATH Keywords

Wishart matrixmultivariate analysis of varianceextreme rootsExact distributions

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3106854 (Why is no real title available?)
• 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
• 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

(30)

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

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