The asymptotic distribution of principal component roots under local alternatives to multiple roots

DOI10.1214/AOS/1176346336MaRDI QIDQ797929zbMATH OpenOpenAlexFDO

Authors David E. Tyler

Publication date 1983

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346336

zbMATH Keywords

elliptical distributionslocal power functionaffine-invariant M-estimates of scatterlocal alternatives to multiple population rootsprincipal component rootsspherically invariant random matricestest for subsphericity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52)

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Cited in

(15)

• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Asymptotic theory for robust principal components
• Tests of some hypotheses on characteristic roots of covariance matrices not requiring normality assumptions.
• A class of asymptotic tests for principal component vectors
• An analysis of David E. Tyler's publication and coauthor network
• On the asymptotic behavior of the leading eigenvector of Tyler's shape estimator under weak identifiability
• On testing the equality of latent roots of scatter matrices under ellipticity
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• Perturbation theory for cross data matrix-based PCA
• Power enhancement for dimension detection of Gaussian signals
• Robust plug-in estimators in proportional scatter models.
• A note on the limiting distribution of certain characteristic roots
• Asymptotic and bootstrap tests for subspace dimension
• On asymptotic normality of cross data matrix-based PCA in high dimension low sample size
• Sign tests for weak principal directions

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