IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v145y2016icp224-235.html
   My bibliography  Save this article

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

Author

Listed:
  • Caro-Lopera, Francisco J.
  • González Farías, Graciela
  • Balakrishnan, Narayanaswamy

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.

Suggested Citation

  • Caro-Lopera, Francisco J. & González Farías, Graciela & Balakrishnan, Narayanaswamy, 2016. "Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 224-235.
    • Handle: RePEc:eee:jmvana:v:145:y:2016:i:c:p:224-235
    DOI: 10.1016/j.jmva.2015.12.012
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X15003383
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jmva.2015.12.012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Khatri, C. G., 1972. "On the exact finite series distribution of the smallest or the largest root of matrices in three situations," Journal of Multivariate Analysis, Elsevier, vol. 2(2), pages 201-207, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Federico Ferraccioli & Giovanna Menardi, 2023. "Modal clustering of matrix-variate data," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 17(2), pages 323-345, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hashiguchi, Hiroki & Takayama, Nobuki & Takemura, Akimichi, 2018. "Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 270-278.
    2. Shimizu, Koki & Hashiguchi, Hiroki, 2021. "Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix," Journal of Multivariate Analysis, Elsevier, vol. 183(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:145:y:2016:i:c:p:224-235. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.