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

doi:10.1016/j.jmva.2015.12.012

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

Grupo de Investigación en Materiales Nanoestructurados y Biomodelación

Resultado de la investigación: Contribución a una revista › Artículo

Resumen

© 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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	224-235
Número de páginas	12
Publicación	Journal of Multivariate Analysis
DOI	https://doi.org/10.1016/j.jmva.2015.12.012
Estado	Publicada - 1 mar 2016

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10.1016/j.jmva.2015.12.012

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Caro-Lopera, F. J., González Farías, G., & Balakrishnan, N. (2016). Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots. Journal of Multivariate Analysis, 224-235. https://doi.org/10.1016/j.jmva.2015.12.012

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abstract = "{\textcopyright} 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",

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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.

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

Resultado de la investigación: Contribución a una revista › Artículo

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