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