Approximate null distribution of the largest root in multivariate analysis

Preprint

29 September 2010

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.1009.5854

Abstract

The greatest root distribution occurs everywhere in classical multivariate analysis, but even under the null hypothesis the exact distribution has required extensive tables or special purpose software. We describe a simple approximation, based on the Tracy--Widom distribution, that in many cases can be used instead of tables or software, at least for initial screening. The quality of approximation is studied, and its use illustrated in a variety of setttings.

Keywords

MULTIVARIATE ANALYSIS
DISTRIBUTION OCCURS
NULL DISTRIBUTION
ROOT DISTRIBUTION
APPROXIMATE NULL
GREATEST ROOT
APPROXIMATION
LARGEST ROOT
TABLES

All Related Versions

Version 1, 2010-09-29, ArXiv
Published version: The Annals of Applied Statistics, 3 (4), 1616.

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