Positive Dependence of the Roots of a Wishart Matrix
Dykstra, Richard L. ; Hewett, John E.
Ann. Statist., Tome 6 (1978) no. 1, p. 235-238 / Harvested from Project Euclid
It is shown that the characteristic roots of a Wishart matrix (identity covariance matrix) and the roots of $S_1 S_2^{-1}$ and $S_1(S_1 + S_2)^{-1}$ where $S_1, S_2$ are independent $p \times p$ Wishart matrices with the same covariance matrix, satisfy certain types of dependency relationships. That is, it is shown that these roots are (a) positive orthant dependent, (b) associated, (c) stochastically increasing in sequence, and (d) positively likelihood ratio dependent. An example of how this may be used in obtaining simultaneous confidence intervals is also included.
Publié le : 1978-01-14
Classification:  Wishart distribution,  characteristic roots,  positive dependence,  totally positive of order two,  62H99
@article{1176344083,
     author = {Dykstra, Richard L. and Hewett, John E.},
     title = {Positive Dependence of the Roots of a Wishart Matrix},
     journal = {Ann. Statist.},
     volume = {6},
     number = {1},
     year = {1978},
     pages = { 235-238},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344083}
}
Dykstra, Richard L.; Hewett, John E. Positive Dependence of the Roots of a Wishart Matrix. Ann. Statist., Tome 6 (1978) no. 1, pp.  235-238. http://gdmltest.u-ga.fr/item/1176344083/