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Asymptotic expansions of the distributions of the latent roots and the latent vector of the Wishart and multivariate F matrices

Asymptotic expansions of the joint distributions of the latent roots of the Wishart matrix and multivariate F matrix are obtained for large degrees of freedom when the population latent roots have arbitrary multiplicity. Asymptotic expansions of the distributions of the latent vectors of the above matrices are also derived when the corresponding population root is simple. The effect of normalizations of the vector is examined.
Year of publication:
1976
Authors: Sugiura, Nariaki
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 6.1976, 4, p. 500-525
Publisher: Elsevier
Keywords: Asymptotic expansions Distributions of latent roots Distributions of a latent vector Wishart distribution Multiple population latent roots Perturbation Taylor series expansion for latent root Taylor series expansion for latent vector Effect of normalizations of the latent vector
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005221416
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