Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524614 | Journal of Multivariate Analysis | 2005 | 36 Pages |
Abstract
Edgeworth expansions and saddlepoint approximations for the distributions of estimators of certain eigenfunctions of covariance and correlation matrices are developed. These expansions depend on second-, third-, and fourth-order moments of the sample covariance matrix. Expressions for and estimators of these moments are obtained. The expansions and moment expressions are used to construct second-order accurate confidence intervals for the eigenfunctions. The expansions are illustrated and the results of a small simulation study that evaluates the finite-sample performance of the confidence intervals are reported.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Robert J. Boik,