Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145200 | Journal of Multivariate Analysis | 2016 | 12 Pages |
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
Francisco J. Caro-Lopera, Graciela González Farías, Narayanaswamy Balakrishnan,