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

Francisco J. Caro-Lopera, Graciela González Farías and Narayanaswamy Balakrishnan

Journal of Multivariate Analysis, 2016, vol. 145, issue C, 224-235

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.

Keywords: Likelihood ratio statistics; Elliptical models; Zonal polynomials; Sample covariance matrix; Latent roots (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:145:y:2016:i:c:p:224-235

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DOI: 10.1016/j.jmva.2015.12.012

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