On the distribution of sample scale-free scatter matrices

DOI10.1007/S00362-022-01388-8MaRDI QIDQ6494433FDOQ6494433

Authors: Arakaparampil M. Mathai, Serge B. Provost 

Publication date: 30 April 2024

Published in: Statistical Papers (Search for Journal in Brave)

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Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Integration of real functions of several variables: length, area, volume (26B15)

Cites Work

• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• Title not available (Why is that?)
• The H-Function
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• Special Functions for Applied Scientists
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• Asymptotic expansions for the distributions of statistics based on the sample correlation matrix in principal component analysis
• Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations
• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
• Multivariate calculation. Use of the continuous groups
• Approximations to the distribution of the sample correlation matrix
• Distribution of the determinant of the sample correlation matrix from a mixture normal model
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
• Limit theorems for random simplices in high dimensions
• Likelihood ratio tests for many groups in high dimensions
• Thin-shell theory for rotationally invariant random simplices
• Likelihood ratio tests under model misspecification in high dimensions
• Determinant of sample correlation matrix with application
• Logarithmic law of large random correlation matrices

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