Asymptotic Expansions for the Joint and Marginal Distributions of the Latent Roots of the Covariance Matrix
Muirhead, R. J. ; Chikuse, Y.
Ann. Statist., Tome 3 (1975) no. 1, p. 1011-1017 / Harvested from Project Euclid
Let nS be an $m\times m$ matrix having the Wishart distribution $W_m(n,\Sigma)$. For large n and simple latent roots of $\Sigma$, it is known that the latent roots of S are asymptotically independently normal. In this paper an expansion, up to and including the terms of order $n^-1$, is given for the joint density function of the roots of S in terms of normal density functions. Expansions for the marginal distributions of the roots are also given, valid when the corresponding roots of $\Sigma$ are simple.
Publié le : 1975-07-14
Classification:  Wishart distribution,  latent roots,  covariance matrix,  asymptotic expansions,  62H10,  62E20,  35B40,  41A60
@article{1176343205,
     author = {Muirhead, R. J. and Chikuse, Y.},
     title = {Asymptotic Expansions for the Joint and Marginal Distributions of the Latent Roots of the Covariance Matrix},
     journal = {Ann. Statist.},
     volume = {3},
     number = {1},
     year = {1975},
     pages = { 1011-1017},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343205}
}
Muirhead, R. J.; Chikuse, Y. Asymptotic Expansions for the Joint and Marginal Distributions of the Latent Roots of the Covariance Matrix. Ann. Statist., Tome 3 (1975) no. 1, pp.  1011-1017. http://gdmltest.u-ga.fr/item/1176343205/