Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance

DOI10.1016/J.JMVA.2015.10.007MaRDI QIDQ900830zbMATH OpenOpenAlexFDO

Authors Marco Chiani

Publication date 23 December 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.3987

zbMATH Keywords

largest eigenvaluerandom matricescharacteristic rootsTracy-Widom distributionWishart matricesmultivariate analysis of variance (MANOVA)Roy's test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10)

Abstract: Let $$ denote two independent real Gaussian $mathsfpimesmathsfm$ and $mathsfpimesmathsfn$ matrices with $mathsfm,mathsfngeqmathsfp$, each constituted by zero mean i.i.d. columns with common covariance. The Roy's largest root criterion, used in multivariate analysis of variance (MANOVA), is based on the statistic of the largest eigenvalue, $Thet{a}_1$, of $$, where $$ and $$ are independent central Wishart matrices. We derive a new expression and efficient recursive formulas for the exact distribution of $Thet{a}_1$. The expression can be easily calculated even for large parameters, eliminating the need of pre-calculated tables for the application of the Roy's test.

Recommendations

• Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
• Roy's largest root test under rank-one alternatives
• Percentage points of the largest characteristic root of the multivariate beta matrix
• Approximation of the power functions of Roy's largest root test under general spiked alternatives

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3115913 (Why is no real title available?)
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• Approximate null distribution of the largest root in multivariate analysis
• Charts of Some Upper Percentage Points of the Distribution of the Largest Characteristic Root
• Distribution of the Largest or the Smallest Characteristic Root Under Null Hypothesis Concerning Complex Multivariate Normal Populations
• Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
• Hypergeometric Functions of Scalar Matrix Argument are Expressible in Terms of Classical Hypergeometric Functions
• Level-spacing distributions and the Airy kernel
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• On orthogonal and symplectic matrix ensembles
• On the capacity of spatially correlated mimo rayleigh-fading channels
• On the distribution of the largest eigenvalue in principal components analysis
• Shape fluctuations and random matrices
• The Distributions of Random Matrix Theory and their Applications
• Upper percentage points of the largest root of a matrix in multivariate analysis

Cited in

(14)

• Testing independence under a block compound symmetry covariance structure
• Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
• Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
• A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications
• Percentage points of the largest characteristic root of the multivariate beta matrix
• On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
• Roy's largest root under rank-one perturbations: the complex valued case and applications
• Computable structural formulas for the distribution of the \(\beta\)-Jacobi edge eigenvalues
• Roy's largest root test under rank-one alternatives
• Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
• On the distribution of an arbitrary subset of the eigenvalues for some finite dimensional random matrices
• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
• Exact and approximate computation of critical values of the largest root test in high dimension

This page was built for publication: Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q900830)