On a statistic useful in dimensionality reduction in multivariable linear stochastic system

1 January 1976

journal article
research article
Published by Taylor & Francis in Communications in Statistics - Theory and Methods

Vol. 5 (8) , 711-721
https://doi.org/10.1080/03610927608827389

Abstract

In this paper we study the sampling properties of a test statistic which has important applications in the area of linear stochastic control systems with multi-inputs and multi-outputs. The statistic is the ratio of a partial sum of the eigenvalues of a sample covariance matrix and its trace. It turns out that using a method due to Sugiura we may derive a useful approximation for its distribution up to and including terms of order l/n, where n denotes the appropriate size. Numerical illustrations using real data are given.

Keywords

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