Article ID Journal Published Year Pages File Type
1145200 Journal of Multivariate Analysis 2016 12 Pages PDF
Abstract

In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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