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On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix

Author

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  • Krishnaiah, P. R.
  • Schuurmann, F. J.

Abstract

In this paper, the authors consider the evaluation of the distribution functions of the ratios of the intermediate roots to the trace of the real Wishart matrix as well as the ratios of the individual roots to the trace of the complex Wishart matrix. In addition, the authors consider the evaluation of the distribution functions of the ratios of the extreme roots of the Wishart matrix in the real and complex cases. Some applications and tables of the above distributions are also given.

Suggested Citation

  • Krishnaiah, P. R. & Schuurmann, F. J., 1974. "On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 4(3), pages 265-282, September.
  • Handle: RePEc:eee:jmvana:v:4:y:1974:i:3:p:265-282
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    Citations

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    Cited by:

    1. Sadanori Konishi, 1977. "Asymptotic expansion for the distribution of a function of latent roots of the covariance matrix," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 389-396, December.
    2. Dharmawansa, Prathapasinghe, 2016. "Some new results on the eigenvalues of complex non-central Wishart matrices with a rank-1 mean," Journal of Multivariate Analysis, Elsevier, vol. 149(C), pages 30-53.

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