Asymptotic joint distribution of the largest roots of several multivariate F matrices I. Quasi-independent case

Minoru Siotani and Shu Geng

Journal of Multivariate Analysis, 1974, vol. 4, issue 2, 150-165

Abstract: An asymptotic expansion of the joint distribution of k largest characteristic roots CM(i)(SiS0-1), i = 1,..., k, is given, where S'is and S0 are independent Wishart matrices with common covariance matrix [Sigma]. The modified second-approximation procedure to the upper percentage points of the maximum of CM(i)(SiS0-1), i = 1,..., k, is also considered. The evaluation of the expansion is based on the idea for studentization due to Welch and James with the use of differential operators and of the perturbation procedure.

Keywords: asymptotic; expansion; differential; operators; largest; characteristic; roots; multivariate; F; matrices; perturbation; procedure; simultaneous; confidence; bounds; simultaneous; MANOVA; test; modified; second; approximation (search for similar items in EconPapers)
Date: 1974
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