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Matrix-variate distribution theory under...
Journal article

Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

Abstract

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.

Authors

Caro-Lopera FJ; Farías GG; Balakrishnan N

Journal

Journal of Multivariate Analysis, Vol. 145, , pp. 224–235

Publisher

Elsevier

Publication Date

March 2016

DOI

10.1016/j.jmva.2015.12.012

ISSN

0047-259X