Distribution approximation of covariance matrix eigenvalues

DOI10.1080/03610918.2021.1960998OpenAlexW3194235159MaRDI QIDQ6082995FDOQ6082995

Shin-ichi Tsukada, Takatoshi Sugiyama

Publication date: 7 December 2023

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1960998

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zbMATH Keywords

principal component analysiseigenvalueschi-squared approximationWishart matrix

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The efficient evaluation of the hypergeometric function of a matrix argument
• Applied multivariate statistical analysis.
• Asymptotic Theory for Principal Component Analysis
• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
• NUMERICAL COMPUTATION ON DISTRIBUTIONS OF THE LARGEST AND THE SMALLEST LATENT ROOTS OF THE WISHART MATRIX
• On the Distribution of the Largest Latent Root of the Covariance Matrix
• APPROXIMATION FOR THE DISTRIBUTION OF THE LARGEST LATENT ROOT OF A WISHART MATRIX*^,1
• Asymptotic expansions for the distributions of the sample roots under nonnormality
• Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysis
• A NON-PARAMETRIC METHOD TO TEST EQUALITY OF INTERMEDIATE LATENT ROOTS OF TWO POPULATIONS IN A PRINCIPAL COMPONENT ANALYSIS
• Improved approximations to distributions of the largest and the smallest latent roots of a Wishart matrix

Cited In (4)

• Eigenvalue distribution of large sample covariance matrices of linear processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Eigenvalues distribution limit of covariance matrices with AR processes entries

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