Distributions of Matrix Variates and Latent Roots Derived from Normal Samples

DOI10.1214/aoms/1177703550zbMath0121.36605OpenAlexW1974637548WikidataQ56031507 ScholiaQ56031507MaRDI QIDQ5733037

Alan T. James

Publication date: 1964

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177703550

zbMATH Keywords

statistics

Related Items

On discrete multivariate distributions symmetric in frequencies, Concentration of permanent estimators for certain large matrices., Hermite and Laguerre polynomials with complex matrix arguments, Asymptotic expansions of some matrix argument hypergeometric functions, with applications to macromolecules, The bivariate sinh-elliptical distribution with applications to Birnbaum-Saunders distribution and associated regression and measurement error models, Generalized noncentral Hermite and Laguerre polynomials in multiple matrices, Densities of determinant ratios, their moments and some simultaneous confidence intervals in the multivariate Gauss-Markoff model, Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference, Singular values for products of two coupled random matrices: hard edge phase transition, Asymptotic null and nonnull distribution of Hotelling's \(T^ 2\)-statistic under the elliptical distribution, Hirschman-Widder densities, On the spectrum of the perfect matching derangement graph, Preservers of totally positive kernels and Pólya frequency functions, Properties of matrix variate confluent hypergeometric function distribution, Moments and distributions of certain multivariate test criteria in the canonical correlation case under violation, Density estimation on the spaces of symmetric and rectangular matrices, Wishart and pseudo-Wishart distributions and some applications to shape theory, Edgeworth and saddle-point approximations for random rectangular matrices, Pythagorean generalization of testing the equality of two symmetric positive definite matrices, Concentrated matrix Langevin distributions, Estimating the covariance matrix: A new approach, Testing in high-dimensional spiked models, Spherical ensembles, Matrix variate Pareto distribution of the second kind, Phase retrieval using random cubatures and fusion frames of positive semidefinite matrices, A note on the Cook's distance., Random matrices with complex Gaussian entries, The spectrum edge of random matrix ensembles., Singular Wishart and multivariate beta distributions, Conjugate priors and posterior inference for the matrix Langevin distribution on the Stiefel manifold, Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method, Dirac delta function of matrix argument, Approximating the matrix Fisher and Bingham distributions: Applications to spherical regression and Procrustes analysis, A triple product identity for Schur functions, The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications, Exact formulas for the normalizing constants of Wishart distributions for graphical models, Extended matrix variate hypergeometric functions and matrix variate distributions, Bayes estimation of number of signals, Constant term identities and hypergeometric functions on spaces of Hermitian matrices, Roy's largest root under rank-one perturbations: the complex valued case and applications, On the distribution of a quadratic form in a multivariate normal sample, On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix, Extensions of Wilks' integral equations and distributions of test statistics, Expressions for some hypergeometric functions of matrix argument with applications, On the distribution of the latent roots of a complex Wishart matrix (non- central case), On the derivation of the asymptotic distribution of the generalized Hotelling's \(T^2_0\), Note on the asymptotic distributions of the functions of a multivariate quadratic form in normal sample, Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution, On the distribution of the multivariate quadratic form in multivariate normal samples, The asymptotic distributions of the statistics based on the complex Gaussian distribution, An asymptotic expansion for the distribution of the determinant of a multivariate quadratic form in a normal sample, Distributions of the largest latent root of the multivariate complex Gaussian distribution, Simultaneous tests for equality of latent roots against certain alternatives. II, On an asymptotic distribution of the characteristic roots of \(S_1S^{- 1}_2\) when roots are not all distinct, Singular random matrix decompositions: Jacobians, Current distribution and random matrix ensembles for an integrable asymmetric fragmentation process, Asymptotic distributions of the latent roots of the covariance matrix with multiple population roots, Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix, Asymptotic expansions for distributions of latent roots in multivariate analysis, Integral transform methods in goodness-of-fit testing. II: The Wishart distributions, Note on the distribution of the minimum latent root, Some recent developments on complex multivariate distributions, On the complex analogue of Bayesian estimation of a multivariate regression model, Some distributions of the latent roots of a complex Wishart matrix variate, Partial differential equations for hypergeometric functions of complex argument matrices and their applications, Zonal polynomials: an alternative approach, On the exact non-null distribution of likelihood ratio criteria for covariance matrices, Uniform distribution on a Stiefel manifold, Asymptotic distributions for the elementary symmetric functions of two matrices under the assumption of linearity, Alternative derivation of some complex multivariate distributions, Inference in canonical correlation analysis, Nonnull distributions of some statistics associated with testing for the equality of two covariance matrices, From low- to high-dimensional moments without magic, Statistical theory of shape under elliptical models via polar decompositions, On the expectation of a ratio of quadratic forms in normal variables, Matrix variate Pareto distributions, Some combinatorial properties of Jack symmetric functions, Density estimation on the Stiefel manifold, Generalized binomial expansion on complex matrix space, Multivariate Meixner classes of invariant distributions, The distribution of the ratios of characteristic roots (condition numbers) and their applications in principal component or ridge regression, Compact group actions, spherical Bessel functions, and invariant random variables, Distribution theory for some tests of independence of seemingly unrelated regressions, Improving on the best affine equivariant estimator of the ratio of generalized variances, Asymptotic analysis for extreme eigenvalues of principal minors of random matrices, Random matrix theory and its applications, Exact distribution of the non-central Wilks's statistic of the second kind, A unified complex noncentral Wishart type distribution inspired by massive MIMO systems, Laplace approximations for hypergeometric functions with Hermitian matrix argument, Screening among multivariate normal data, An identity involving partitional generalized binomial coefficients, On the calculation of generalized binomial coefficients, Bessel systems for Jordan algebras of rank 2 and 3, On the distribution of the largest eigenvalue in principal components analysis, Laplace approximations for hypergeometric functions with matrix argument, Evaluating matrix-variate moments through higher-order differential forms and combinatorial algorithms., Methods of density estimation on the Grassmann manifold, Large deviations asymptotics for spherical integrals, Exact densities for variance estimators of the structural disturbances in simultaneous equations models, A selection procedure for estimating the number of signal components, A note on some Wishart expectations, Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices, Testing optimality of experimental designs for a regression model with random variables, Chi-square mixture representations for the distribution of the scalar Schur complement in a noncentral Wishart matrix, Some new results on the eigenvalues of complex non-central Wishart matrices with a rank-1 mean, Asymptotics of special functions and the central limit theorem on the space \({\mathcal P}_ n\) of positive \(n\times n\) matrices, Multivariate Liouville distributions, Error bounds for asymptotic expansions of the distribution of the MLE in a GMANOVA model, Estimation of covariance matrices in fixed and mixed effects linear models, Contributions to multivariate analysis by Professor Yasunori Fujikoshi, Minimal complete classes of invariant tests for equality of normal covariance matrices and sphericity, Inverse Wishart distributions based on singular elliptically contoured distributions, Some distribution theory relating to confidence regions in multivariate calibration, Limit theorems for beta-Jacobi ensembles, On the distribution of the function of the F-matrix under an elliptical population, Conditional and unconditional statistical independence, On testing the dimensionality of regression coefficients, Asymptotic power of sphericity tests for high-dimensional data, Generalised shape theory via pseudo-Wishart distribution, Distributions of the compound and scale mixture of vector and spherical matrix variate elliptical distributions, Distribution theory of quadratic forms for matrix multivariate elliptical distribution, The holonomic gradient method for the distribution function of the largest root of a Wishart matrix, Extended matrix variate gamma and beta functions, Asymptotic expansions for the joint and marginal distributions of the latent roots of \(S_1S^{-1}_2\), Locally minimax test of the equality of two covariance matrices, Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix, Log-convexity properties of Schur functions and generalized hypergeometric functions of matrix argument, Estimation of a linear transformation and an associated distributional problem, Approximation of rectangular beta-Laguerre ensembles and large deviations, Asymptotic distributions of the latent roots with multiple population roots in multiple discriminant analysis, Calculation of zonal polynomials of \(3\times 3\) positive definite symmetric matrices, Power comparisons of two-sided tests of equality of two covariance matrices based on six criteria, Elliptical affine shape distributions for real normed division algebras, Expectations of functions of complex Wishart matrix, Statistical distribution of quantum entanglement for a random bipartite state, Properties of the complex bimatrix variate beta distribution, Exact nonnull distribution of Wilks' statistic: The ratio and product of independent components, Some complex variable transformations and exact power comparisons of two- sided tests of equality of two Hermitian covariance matrices, Extreme eigenvalue distributions of some complex correlated non-central Wishart and gamma-Wishart random matrices, Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory, The distribution of the characteristic roots of \(S_ 1 S_ 2^{-1}\) under violations in the complex case and power comparisons of four tests, Distribution of the product of determinants of noncentral bimatrix beta variates, On the decomposition of Brauer's centralizer algebras, The matrix angular central Gaussian distribution, Distributions of orientations on Stiefel manifolds, Statistical theory of shape under elliptical models and singular value decompositions, Locally minimax tests in symmetrical distributions, The distribution of product of independent beta random variables with application to multivariate analysis, Differential operators associated with zonal polynomials. I, Differential operators associated with zonal polynomials. II, Generalised shape theory via SV decomposition. I, Totally positive kernels, Pólya frequency functions, and generalized hypergeometric series, Asymptotic distributions of the likelihood ratio test statistics for covariance structures of the complex multivariate normal distributions, On the construction of a class of invariant polynomials in several matrices, extending the zonal polynomials, The affinely invariant distance correlation, Eigenfunctions of expected value operators in the Wishart distribution. II, A general Bayesian estimation method of linear-bilinear models applied to plant breeding trials with genotype \(\times\) environment interaction, The distribution and moments of the smallest eigenvalue of a random matrix of Wishart type, Asymptotic expansions for distributions of the large sample matrix resultant and related statistics on the Stiefel manifold, The noncentral Bartlett decompositions and shape densities, Limits for circular Jacobi beta-ensembles, On eigenvalues of the sum of two random projections, Clustering rows and/or columns of a two-way contingency table and a related distribution theory, On Bessel integrals for reducible degenerate principal series representations, Noncentral bimatrix variate generalised beta distributions, Time-division multiuser MIMO with statistical feedback, Doubly noncentral singular matrix variate beta distributions, On Wishart distribution: some extensions, Laplace approximations to hypergeometric functions of two matrix arguments, Singular random matrix decompositions: distributions, Matricvariate and matrix multivariate \(T\) distributions and associated distributions, Wishart ratios with dependent structure: New members of the bimatrix beta type IV, On non-null distributions connected with testing that a real normal distribution is complex, The information matrix, skewness tensor and \(\alpha\)-connections for the general multivariate elliptic distribution, Total positivity, spherical series, and hypergeometric functions of matrix argument, On the maximum likelihood estimation of a covariance matrix, Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence, Bayesian inference in a time varying cointegration model, Meixner matrix ensembles, Estimating the covariance matrix and the generalized variance under a symmetric loss, Approximation of Haar distributed matrices and limiting distributions of eigenvalues of Jacobi ensembles, On Bayesian principal component analysis, On some distribution problems in Manova and discriminant analysis, High dimensional limit theorems and matrix decompositions on the Stiefel manifold, On the linear combinations of stochastic variables, Asymptotic formulas for the distributions of the determinant and the trace of a noncentral beta matrix, Noncentral elliptical configuration density, Complex bimatrix variate generalised beta distributions, Representations for eigenfunctions of expected value operators in the Wishart distribution, On a result of Roy and Gnanadesikan concerning multivariate variance components, Recurrence formulas for zonal polynomials, On the exact non-null distribution of Wilks' L(VC) criterion and power studies, Formulas for zonal polynomials, A multivariate one-way classification model with random effects, Quadratic forms of a matric-t variate, Two testing problems relating the real and complex multivariate normal distributions, Estimating functions of canonical correlation coefficients, On the expansion of \(C^*_{\rho}(V+I)\) as a sum of zonal polynomials, Complex singular Wishart matrices and applications, Some properties of invariant polynomials with matrix arguments and their applications in econometrics, LARGE INFORMATION PLUS NOISE RANDOM MATRIX MODELS AND CONSISTENT SUBSPACE ESTIMATION IN LARGE SENSOR NETWORKS, Some Bimatrix Beta Distributions, Weighted Laplace transforms and Bessel functions on Hermitian symmetric spaces, Global spectrum fluctuations for the β-Hermite and β-Laguerre ensembles via matrix models, Distribution and characteristic functions for correlated complex Wishart matrices, Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices, Reference prior bayes estimator for bivariate normal covariance matrix with risk comparison, Estimation of σ²in the multiplicative interaction model, The Exact and Near-Exact Distributions for the Statistic Used to Test the Reality of Covariance Matrix in a Complex Normal Distribution, DISTRIBUTION OF THE LARGEST EIGENVALUE OF AN ELLIPTICAL WISHART MATRIX AND ITS SIMULATION, On generalized matric variate beta distributions, Asymptotic expansion of the nonnull distribution of likelihood ratio statistic for testing multisample sphericity, Multivariate generalization of t'- statistic based on the mean square successive difference, Some comments on zonal polynomials and their expected values with respect to elliptical distributions, Matrix models for beta ensembles, Asymptotically efficient estimation of smooth functionals of covariance operators, Application of multiple comparison type procedures to the eigenvalues of §^-1₁:§₂:, A note on the critical values used in stepwise tests for multiplicative components of interaction, Recursive transformed component statistical analysis for incipient fault detection, Inference on parameters of Watson distributions and application to classification of observations, The distribution of the non-central Wilks statistic in the complex case, Asymptotic distributions of functions of a sample covariance matrix under the elliptical distribution, Algorithm for the product of Jack polynomials and its application to the sphericity test, Matrix variate two-sided power distribution, A bimatrix variate gamma distribution, Nonnull distribution of the likelihood ratio criterion for testing equality of covariance matrices under intraclass correlation model, Limiting spectral distribution of high-dimensional noncentral Fisher matrices and its analysis, Exact minimum eigenvalue distribution of an entangled random pure state, Finite size corrections relating to distributions of the length of longest increasing subsequences, On the singular values of complex matrix Brownian motion with a matrix drift, Appell's hypergeometric functions of matrix arguments, Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails, Representation of Radon shape diffusions via hyperspherical Brownian motion, Signal detection in high dimension: the multispiked case, Average coherence and its typicality for random mixed quantum states, On Riesz distribution, MOPS: multivariate orthogonal polynomials (symbolically), COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS, Largest Schmidt eigenvalue of random pure states and conductance distribution in chaotic cavities, Top eigenvalue of a random matrix: large deviations and third order phase transition, EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS, The Laguerre process and generalized Hartman-Watson law, Quadratic Forms in Disguised MatrixT-Variate, On the largest singular values of random matrices with independent Cauchy entries, MATRIX-VARIATE GAUSS HYPERGEOMETRIC DISTRIBUTION, Singular matrix variate beta distribution, Asymptotic Expansion of The Matrix-Variate Kummer-Dirichlet Type I Distribution, An identity involving invariant polynomials of matrix arguments, Distributions of the Largest Singular Values of Skew-Symmetric Random Matrices and their Applications to Paired Comparisons, Non-white Wishart ensembles, Asymptotic expansions of the non-central distribution of milks1 statistic in the complex gaussian case, On the Moments and Density Function of Hotelling’s Trace and other Test Criteria Concerning Test of Independence Under Violation in the Complex Case, The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables, Partial differential equations for hypergeometric functions ₃F₂ of matrix argument, Asymptotic nonnull distribution of likelihood ratio statistic for testing homogeneity of complex multivariate gaussian populations, Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution, Hypergeometric functions on complex matrix space, Maximum entropy characterizations of the multivariate Liouville distributions, State space models on special manifolds, Wishart and pseudo-Wishart distributions under elliptical laws and related distributions in the shape theory context, Asymptotic linear spectral statistics for spiked Hermitian random matrices, Matrix variate Macdonald distribution, Asymptotic distribution of the latent roots of the noncentral wishart distribution and the power of the likelihood ratio test for nonadditivity, On the distribution of the maximum latent root of a positive definite symmetric random matrix, On the moments of traces of two matrices in multivariate analysis, On a Fourier integral over SO(3), A parametrization for independent variables of a two-matrix hypergeometric function, Power comparisons of tests of two multivariate hypotheses based on individual characteristic roots, Siotani's Contributions to Multivariate Statistical Analysis, On the distribution of the latent roots of a positive definite random symmetric matrix. I, Whittaker's \(M_{k,\mu}\)-function of a matrix argument, Non-central distributions of the largest latent roots of three matrices in multivariate analysis, On the moments of elementary symmetric functions of the roots of two matrices, Monotonicity of the power functions of some tests of hypotheses concerning multivariate complex normal distributions, Eigenvalue separation in some random matrix models, Comparing the exact distribution of the t-statistic to student's distribution when its constituent normal and chi-squared variables are dependent, Non-central distributions of ith largest characteristic roots of three matrices concerning complex multivariate normal populations, Computation of the null distribution of the largest or smallest latent roots of a beta matrix, Partial differential equations for hypergeometric functions of two argument matrices, Simultaneous tests for equality of latent roots against certain alternatives. I, Asymptotic expansions of the non-null distributions of two criteria for the linear hypotheses concerning complex multivariate normal populations, An approximation to the distribution of the largest root of a complex Wishart matrix, Generalized canonical analysis for time series, Asymptotic distributions of the sphericity test in a complex multivariate normal distribution, Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices, Further results on the trace of a noncentral wishart matrix, Exact probabilities of obtaining estimated non-positive definite between-group covariance matrices, On computing Schur functions and series thereof, Complex random matrices and Rician channel capacity, Eigenvalues of Random Matrices with Isotropic Gaussian Noise and the Design of Diffusion Tensor Imaging Experiments, Spatial design matrices and associated quadratic forms: structure and properties, The distributions of some statistics associated with two multivariate hypotheses under violations in the complex case, The exact distributions of the univariate and multivariate behrens-fisher statistics with a comparison of several solutions in the univariate case, Improved Estimation of Generalized Variance and Precision, Some asymptotic results in the multivariate lognormal estimation theory, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models, Recurrence relations of coefficients of the generalized hypergeometric function in multivariate analysis, An alternative bayesian approach to the multivariate behrens-fisher problem, On a test for reality of the covariance matrix in a complex gaussian distribution, On approximating the non-central wishart distribution by central wishart distribution a monte carlo study, Bayesian growth curve model useful for high-dimensional longitudinal data, Weighted Condition Number Distributions Emanating from Complex Noncentral Wishart Type Matrices, Uniform approximation of eigenvalues in Laguerre and Hermite 𝛽-ensembles by roots of orthogonal polynomials, On Inverted Matrix Variate Gamma Distribution, Distributions associated with the factors of Wilks' Λ in discriminant analysis, Zonal Polynomials and Hypergeometric Functions of Quaternion Matrix Argument, A Selection Procedure for the Number of Signals in Presence of Colored Noise, On characterizing the complex Wishart distribution, Asymptotic behavior of the distributions of eigenvalues for beta-Wishart ensemble under the dispersed population eigenvalues, Noncentral complex Wishart matrices: Moments and correlation of minors, Exact distributions of two non-central generalized Wilks's statistics, The Wishart distribution on symmetric cones, Approximation for the distribution function of non-central complex Wilks statistic, Exact expressions and numerical evaluation of average evolvability measures for characterizing and comparing \(\mathbf{G}\) matrices, Projective Wishart distributions, Extreme points of the Vandermonde determinant and Wishart ensemble on symmetric cones, Smallest eigenvalue density for regular or fixed-trace complex Wishart–Laguerre ensemble and entanglement in coupled kicked tops, A robust multivariate Birnbaum–Saunders distribution: EM estimation, DETECTION OF WEAK SIGNALS IN HIGH-DIMENSIONAL COMPLEX-VALUED DATA, THE BETA-MANOVA ENSEMBLE WITH GENERAL COVARIANCE, Statistical theory of shape under elliptical models via QR decomposition, Modifications of the Rayleigh and Bingham tests for uniformity of directions, Unnamed Item, Unnamed Item, Wilks' Integral Equations in Multivariate Distribution Theory, Distributions of Lawley-Hotelling'sT₀²and Related Statistics: A Review, Invariant Polynomials and Related Tests, Power Function Studies, The Moment Generating Function of Pillai’s Criterion Concerning Three Hypotheses Under Violations in the Complex case, The expected value of zonal polynomials, The Z-Poisson distribution with application to the modelling of soccer score probabilities, Unnamed Item, MacMahon's master theorem, representation theory, and moments of Wishart distributions, The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors, Matrix calculus and related hypergeometric functions, Bimatrix variate gamma-beta distributions, Evaluation of matrix Liouville–Dirichlet integrals using Laplace transform, Probabilistic approach to Page's formula for the entropy of a quantum subsystem, Generalization of some integrals over unitary matrices by character expansion of groups, Large-deviation asymptotics of condition numbers of random matrices, Reduced forms and weak instrumentation