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

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.

Autores:
Tipo de recurso:
Fecha de publicación:
2016
Institución:
Universidad de Medellín
Repositorio:
Repositorio UDEM
Idioma:
eng
OAI Identifier:
oai:repository.udem.edu.co:11407/2280
Acceso en línea:
http://hdl.handle.net/11407/2280
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http://purl.org/coar/access_right/c_16ec
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spelling 2016-06-23T14:01:37Z2016-06-23T14:01:37Z20160047259Xhttp://hdl.handle.net/11407/228010.1016/j.jmva.2015.12.012In 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.engAcademic Press Inc.http://www.sciencedirect.com/science/article/pii/S0047259X15003383Journal of Multivariate Analysis Volume 145, March 2016, Pages 224–235ScopusMatrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent rootsArticleinfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/restrictedAccesshttp://purl.org/coar/access_right/c_16ecUniversidad de Medellín, Department of Basic Sciences, Carrera 87 No. 30-65, of. 5-103, Medellín, ColombiaCIMAT A. C., Department of Probability and Statistics, Callejón de Jalisco s/n, Mineral de Valenciana, Guanajuato, Guanajuato, MexicoMcMaster University, Department of Mathematics and Statistics, Hamilton, ON, CanadaCaro-Lopera F.J.González Farías G.Balakrishnan N.11407/2280oai:repository.udem.edu.co:11407/22802020-05-27 18:31:48.887Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co
dc.title.spa.fl_str_mv Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
title Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
spellingShingle Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
title_short Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
title_full Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
title_fullStr Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
title_full_unstemmed Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
title_sort Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
dc.contributor.affiliation.spa.fl_str_mv Universidad de Medellín, Department of Basic Sciences, Carrera 87 No. 30-65, of. 5-103, Medellín, Colombia
CIMAT A. C., Department of Probability and Statistics, Callejón de Jalisco s/n, Mineral de Valenciana, Guanajuato, Guanajuato, Mexico
McMaster University, Department of Mathematics and Statistics, Hamilton, ON, Canada
description 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.
publishDate 2016
dc.date.accessioned.none.fl_str_mv 2016-06-23T14:01:37Z
dc.date.available.none.fl_str_mv 2016-06-23T14:01:37Z
dc.date.created.none.fl_str_mv 2016
dc.type.eng.fl_str_mv Article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv 0047259X
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/11407/2280
dc.identifier.doi.none.fl_str_mv 10.1016/j.jmva.2015.12.012
identifier_str_mv 0047259X
10.1016/j.jmva.2015.12.012
url http://hdl.handle.net/11407/2280
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.isversionof.spa.fl_str_mv http://www.sciencedirect.com/science/article/pii/S0047259X15003383
dc.relation.ispartofen.eng.fl_str_mv Journal of Multivariate Analysis Volume 145, March 2016, Pages 224–235
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/restrictedAccess
eu_rights_str_mv restrictedAccess
rights_invalid_str_mv http://purl.org/coar/access_right/c_16ec
dc.publisher.spa.fl_str_mv Academic Press Inc.
dc.source.spa.fl_str_mv Scopus
institution Universidad de Medellín
repository.name.fl_str_mv Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv repositorio@udem.edu.co
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