Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

Francisco J. Caro-Lopera, Graciela González Farías, Narayanaswamy Balakrishnan

Research output: Contribution to journalArticleResearchpeer-review

Abstract

© 2015 Elsevier Inc.. In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature.
Original languageAmerican English
Pages (from-to)224-235
Number of pages12
JournalJournal of Multivariate Analysis
DOIs
StatePublished - 1 Mar 2016

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Latent Root
Distribution Theory
Covariance matrix
Joint Distribution
Sample Covariance Matrix
Model
Joint distribution

Cite this

@article{4585a2d8024048c1a955e727fa8e1e20,
title = "Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots",
abstract = "{\circledC} 2015 Elsevier Inc.. In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature.",
author = "Caro-Lopera, {Francisco J.} and {Gonz{\'a}lez Far{\'i}as}, Graciela and Narayanaswamy Balakrishnan",
year = "2016",
month = "3",
day = "1",
doi = "10.1016/j.jmva.2015.12.012",
language = "American English",
pages = "224--235",
journal = "Journal of Multivariate Analysis",
issn = "0047-259X",
publisher = "Academic Press Inc.",

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Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots. / Caro-Lopera, Francisco J.; González Farías, Graciela; Balakrishnan, Narayanaswamy.

In: Journal of Multivariate Analysis, 01.03.2016, p. 224-235.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

AU - Caro-Lopera, Francisco J.

AU - González Farías, Graciela

AU - Balakrishnan, Narayanaswamy

PY - 2016/3/1

Y1 - 2016/3/1

N2 - © 2015 Elsevier Inc.. In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature.

AB - © 2015 Elsevier Inc.. In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature.

U2 - 10.1016/j.jmva.2015.12.012

DO - 10.1016/j.jmva.2015.12.012

M3 - Article

SP - 224

EP - 235

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

SN - 0047-259X

ER -