Asymptotic Joint Distribution of Functions of the Elements of Sample Covariance Matrix.

Abstract

In this paper, the authors give asymptotic expressions for the joint distribution of the functions of the elements of the sample covariance matrix and sample correlation matrix in the noncentral cases when the underlying distribution is multivariate normal. Accuracy of the above expressions is also studied. Also, asymptotic expressions are given for functioning of the elements of the sample covariance matrix for nonnormal populations. Finally, some application of the above results are discussed. (author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1980
Accession Number
ADA093844

Entities

People

  • Cheng Fang
  • Paruchuri R. Krishnaiah

Organizations

  • University of Pittsburgh

Tags

DTIC Thesaurus Topics

  • Accuracy
  • Analytic Functions
  • Coefficients
  • Computing-Related Activities
  • Covariance
  • Data Science
  • Hypergeometric Functions
  • Hypotheses
  • Information Science
  • Interdisciplinary Science
  • Mathematical Analysis
  • Mathematics
  • Monte Carlo Method
  • Multivariate Analysis
  • Statistical Analysis
  • Statistics
  • Wishart Matrices

Fields of Study

  • Mathematics

Readers

  • Statistical inference.