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

affine-invariant M-estimates of scatterelliptical distributionslocal alternatives to multiple population rootslocal power functionprincipal component rootsspherically invariant random matricestest for subsphericity

Mathematics Subject Classification ID

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

Review text

Let \(\Sigma_ n\) be a sequence of nonrandom symmetric positive definite matrices of order p, and let \(\Gamma_ n\) be any sequence of \(p\times p\) nonrandom matrices such that \(\Gamma^ t_ n\Gamma_ n=\Sigma_ n^{-1}\). Further, let \(S_ n\) be a sequence of random symmetric positive definite matrices of order p such that \(n^{{1\over2}}\Gamma_ n(S_ n-\Sigma_ n)\Gamma^ t_ n\) are asymptotically normal and possess certain invariance properties. In this paper, the asymptotic behavior of the principal component roots of \(S_ n\) is studied under a sequence of local alternatives to multiple population roots. As an application of the result, a local power function for the test for subsphericity is studied.

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