On the distribution of sample scale-free scatter matrices

DOI10.1007/S00362-022-01388-8MaRDI QIDQ6494433

Arak M. Mathai, Serge B. Provost

Publication date: 30 April 2024

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

Mathematics Subject Classification ID

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

Cites Work

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• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
• 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
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• Approximations to the distribution of the sample correlation matrix
• 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
• Thin-shell theory for rotationally invariant random simplices
• Likelihood ratio tests under model misspecification in high dimensions
• Likelihood ratio tests for many groups in high dimensions
• Multivariate calculation. Use of the continuous groups
• Determinant of sample correlation matrix with application
• The H-Function
• Limit theorems for random simplices in high dimensions
• Special Functions for Applied Scientists
• Distribution of the determinant of the sample correlation matrix from a mixture normal model
• Logarithmic law of large random correlation matrices

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