Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

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• 作者：Francisco J. Caro-Lopera^a ; ^{fjcaro@udem.edu.co" class="auth_mail" title="E-mail the corresponding author} ; Graciela Gonzá ; lez Farí ; as^b ; ^{farias@cimat.mx" class="auth_mail" title="E-mail the corresponding author} ; Narayanaswamy Balakrishnan^c ; ^{bala@mcmaster.ca" class="auth_mail" title="E-mail the corresponding author}
• 关键词：62E15 ; 60E05 ; 12E10
• 刊名：Journal of Multivariate Analysis
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：145
• 期：Complete
• 页码：224-235
• 全文大小：410 K

文摘

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.