Asymptotic Spectral Analysis of Cross-Product Matrices.

Abstract

T.W. Anderson (1963) derived the asymptotic distribution of the eigenvalues and vectors of the covariance matrix of a sample from a Gaussian distribution. Davis (1977) took his basic method and used it to get some results for the non-Gaussian case. The non-Gaussian case is of interest either because one wants to study the sensitivity of methods to deviations from Gaussianity - see e.g. Muirhead (1982) - or because one has to deal with other distributions. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1982
Accession Number
ADA123438

Entities

People

  • G. S. Watson

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  • Princeton University

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  • Air Platforms
  • Ground and Sea Platforms
  • Weapons Technologies

DTIC Thesaurus Topics

  • Complex Variables
  • Contour Integrals
  • Data Science
  • Eigenvalues
  • Equations
  • Estimators
  • Information Science
  • Integrals
  • Mathematics
  • Military Research
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  • Probability
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  • Linear Algebra
  • Statistical inference.