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 -