Asymptotic expansions for the distributions of some functions of the latent roots of matrices in three situations

In this paper we derive asymptotic expansions for the distributions of some functions of the latent roots of the matrices in three situations in multivariate normal theory, i.e., (i) principal component analysis, (ii) MANOVA model and (iii) canonical correlation analysis. These expansions are obtained by using a perturbation method. Confidence intervals for the functions of the corresponding population roots are also obtained.

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Year of publication:	1978
Authors:	Fujikoshi, Y.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 8.1978, 1, p. 63-72
Publisher:	Elsevier
Keywords:	Asymptotic distribution function of latent roots asymptotic expansions principal component analysis MANOVA model canonical correlation analysis perturbation method

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

Persistent link: https://www.econbiz.de/10005153156