On Limiting Empirical Distribution Function of the Eigenvalues of a Multivariate F Matrix. Revised.

Abstract

In this paper, the authors derived an explicit expression for the limit of the empirical distribution function (e.d.f.) of a central multivariate F matrix when the number of variables and degrees of freedom both tend to infinity in certain fashion. The authors also extended the above result to the case when the underlying distribution is not necessarily multivariate normal but the first four moments exist. The limiting distribution is useful in deriving the limiting distributions of certain test statistics which arise in multivariate analysis of variance, canonical correlation analysis and tests for the equality of two covariance matrices. Additional keywords: Wishart matrices; computations; correlation. (Author).

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Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1984
Accession Number
ADA151885

Entities

People

  • Paruchuri R. Krishnaiah
  • Y. Q. Yin
  • Z. D. Bai

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • Air Platforms

DTIC Thesaurus Topics

  • Analysis Of Variance
  • Classification
  • Correlation Analysis
  • Covariance
  • Data Analysis
  • Data Science
  • Distribution Functions
  • Eigenvalues
  • Equations
  • Information Science
  • Multivariate Analysis
  • Random Variables
  • Security
  • Statistics
  • United States Government
  • Universities
  • Wishart Matrices

Fields of Study

  • Mathematics

Readers

  • Statistical inference.