The Distribution of the Latent Roots of the Covariance Matrix
James, Alan T.
Ann. Math. Statist., Tome 31 (1960) no. 4, p. 151-158 / Harvested from Project Euclid
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The distribution of the latent roots of the covariance matrix calculated from a sample from a normal multivariate population, was found by Fisher [3], Hsu [6] and Roy [10] for the special, but important case when the population covariance matrix is a scalar matrix, $\Sigma = \sigma^2I$. By use of the representation theory of the linear group, we are able to obtain the general distribution for arbitrary $\Sigma$.
Publié le : 1960-03-14
Classification:  
@article{1177705994,
     author = {James, Alan T.},
     title = {The Distribution of the Latent Roots of the Covariance Matrix},
     journal = {Ann. Math. Statist.},
     volume = {31},
     number = {4},
     year = {1960},
     pages = { 151-158},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177705994}
}

James, Alan T. The Distribution of the Latent Roots of the Covariance Matrix. Ann. Math. Statist., Tome 31 (1960) no. 4, pp.  151-158. http://gdmltest.u-ga.fr/item/1177705994/