A note on the limiting distribution of certain characteristic roots

Yasuo Amemiya

Statistics & Probability Letters, 1990, vol. 9, issue 5, 465-470

Abstract: Let A(n) and B(n) be sequences of p x p random matrices with a joint limiting distribution as n --> [infinity]. The limiting distribution of the ordered roots of A(n) - [lambda]B(n) = 0 is characterized under very general conditions.

Keywords: Generalized; eigenvalues; parameter; drift; local; alternative. (search for similar items in EconPapers)
Date: 1990
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