On an Asymptotic Representation of the Distribution of the Characteristic Roots of $S_1S_2^{-1}$
Chang, Tseng C.
Ann. Math. Statist., Tome 41 (1970) no. 6, p. 440-445 / Harvested from Project Euclid
Let $\mathbf{S}_i: p \times p(i = 1, 2)$ be independently distributed as Wishart $(n_i, p, \mathbf{\Sigma}_i)$. Let the characteristic roots of $\mathbf{S}_1 \mathbf{S}_2^{-1}$ and $\mathbf{\Sigma}_1 \mathbf{\Sigma}_2^{-1}$ be denoted by $l_i (i = 1,2, \cdots, p)$ and $\lambda_i (i = 1,2, \cdots, p)$ respectively such that $l_1 > l_2 > \cdots > l_p > 0$ and $\lambda_1 > \lambda_2 > \cdots > \lambda_p > 0$. Then the distribution of $l_1, \cdots, l_p$ can be expressed in the form (Khatri [8]) \begin{equation*} \tag{1.1} C|\mathbf{\Lambda}|^{-\frac{1}{2}n_1}|\mathbf{L}|^{\frac{1}{2}(n_1-p- 1)}\{\prod^p_{i
Publié le : 1970-04-14
Classification: 
@article{1177697083,
     author = {Chang, Tseng C.},
     title = {On an Asymptotic Representation of the Distribution of the Characteristic Roots of $S\_1S\_2^{-1}$},
     journal = {Ann. Math. Statist.},
     volume = {41},
     number = {6},
     year = {1970},
     pages = { 440-445},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697083}
}
Chang, Tseng C. On an Asymptotic Representation of the Distribution of the Characteristic Roots of $S_1S_2^{-1}$. Ann. Math. Statist., Tome 41 (1970) no. 6, pp.  440-445. http://gdmltest.u-ga.fr/item/1177697083/