Powers of the largest latent root test of ∑= I
- 1 January 1974
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics
- Vol. 3 (6) , 513-524
- https://doi.org/10.1080/03610927408827154
Abstract
In this paper two types of asymptotic approximations to the distribution of the largest latent root of the sample covariance matrix are examined. The first approximation is valid when the largest latent root of the population covariance matrix ∑ is simple, in which case the limiting distribution is normal, and the second approximation is valid when ∑ = λI . These approximations are used to compute powers of the test of the hypothesis ∑= I in the bivariate and trivariate cases.Keywords
This publication has 5 references indexed in Scilit:
- Derivatives of the characteristic root of a synmetric or a hermitian matrix with two applications in multivariate analysisCommunications in Statistics, 1973
- Percentage points of the extreme roots of a Wishart matrixBiometrika, 1968
- The Asymptotic Distribution of Certain Characteristic Roots and VectorsPublished by University of California Press ,1951
- On the Limiting Distribution of Roots of a Determinantal EquationJournal of the London Mathematical Society, 1941
- On the Sampling Theory of Roots of Determinantal EquationsThe Annals of Mathematical Statistics, 1939