APPROXIMATION FOR THE DISTRIBUTION OF THE LARGEST LATENT ROOT OF A WISHART MATRIX*,1

DOI10.1111/J.1467-842X.1972.TB00332.XMaRDI QIDQ5667889zbMATH OpenFDO

Authors

Publication date 1972

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.1972.TB00332.X

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10)

Cited in

(8)

• Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix
• Distributions of the largest latent root of the multivariate complex Gaussian distribution
• Approximations for the distributions of the extreme latent roots of three matrices
• The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
• On a statistic useful in dimensionality reduction in multivariable linear stochastic system
• Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
• scientific article; zbMATH DE number 7387522 (Why is no real title available?)
• Distribution approximation of covariance matrix eigenvalues

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