On the distribution of sample scale-free scatter matrices

DOI10.1007/S00362-022-01388-8MaRDI QIDQ6494433zbMATH OpenFDO

Authors Arakaparampil M. Mathai, Serge B. Provost

Publication date 30 April 2024

Published in Statistical Papers (Search for Journal in Brave)

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)

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Cites work

• scientific article; zbMATH DE number 412096 (Why is no real title available?)
• scientific article; zbMATH DE number 976830 (Why is no real title available?)
• scientific article; zbMATH DE number 1391247 (Why is no real title available?)
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Approximations to the distribution of the sample correlation matrix
• Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
• Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations
• Asymptotic expansions for the distributions of statistics based on the sample correlation matrix in principal component analysis
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• Determinant of sample correlation matrix with application
• Distribution of the determinant of the sample correlation matrix from a mixture normal model
• Likelihood ratio tests for many groups in high dimensions
• Likelihood ratio tests under model misspecification in high dimensions
• Limit theorems for random simplices in high dimensions
• Logarithmic law of large random correlation matrices
• Multivariate calculation. Use of the continuous groups
• Special Functions for Applied Scientists
• The H-Function
• Thin-shell theory for rotationally invariant random simplices
• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

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