Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations

C. Fang and P. R. Krishnaiah

Journal of Multivariate Analysis, 1982, vol. 12, issue 1, 39-63

Abstract: The authors investigated the asymptotic joint distributions of certain functions of the eigenvalues of the sample covariance matrix, correlation matrix, and canonical correlation matrix in nonnull situations when the population eigenvalues have multiplicities. These results are derived without assuming that the underlying distribution is multivariate normal. In obtaining these expressions, Edgeworth type expansions were used.

Keywords: Nonnormal; distributions; Edgeworth; type; expansion; asymptotic; distribution; theory; principal; component; analysis; canonical; correlation; analysis (search for similar items in EconPapers)
Date: 1982
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Citations: View citations in EconPapers (8)

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