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

DOI10.1111/j.1467-842X.1972.tb00332.xzbMath0254.62031MaRDI QIDQ5667889

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Publication date: 1972

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

Mathematics Subject Classification ID

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

Related Items (8)

The holonomic gradient method for the distribution function of the largest root of a Wishart matrix ⋮ Distribution approximation of covariance matrix eigenvalues ⋮ Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix ⋮ Unnamed Item ⋮ On a statistic useful in dimensionality reduction in multivariable linear stochastic system ⋮ Distributions of the largest latent root of the multivariate complex Gaussian distribution ⋮ Approximations for the distributions of the extreme latent roots of three matrices ⋮ Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution

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