Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations

The authors investigated the asymptotic joint distributions of certain functions of the eigenvalues of the sample covariance matrix, correlation matrix, and canonical correlation matrix in nonnull situations when the population eigenvalues have multiplicities. These results are derived without assuming that the underlying distribution is multivariate normal. In obtaining these expressions, Edgeworth type expansions were used.

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Year of publication:	1982
Authors:	Fang, C. ; Krishnaiah, P. R.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 12.1982, 1, p. 39-63
Publisher:	Elsevier
Keywords:	Nonnormal distributions Edgeworth type expansion asymptotic distribution theory principal component analysis canonical correlation analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153160