Joint density of eigenvalues in spiked multivariate models
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Publication:6252002
DOI10.1002/STA4.58arXiv1406.0267WikidataQ42093873 ScholiaQ42093873MaRDI QIDQ6252002FDOQ6252002
Authors: Prathapasinghe Dharmawansa, Iain M. Johnstone 
Publication date: 2 June 2014
Abstract: The classical methods of multivariate analysis are based on the eigenvalues of one or two sample covariance matrices. In many applications of these methods, for example to high dimensional data, it is natural to consider alternative hypotheses which are a low rank departure from the null hypothesis. For rank one alternatives, this note provides a representation for the joint eigenvalue density in terms of a single contour integral. This will be of use for deriving approximate distributions for likelihood ratios and linear statistics used in testing.
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