Accession Number:

ADA093844

Title:

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

Descriptive Note:

Interim rept.,

Corporate Author:

PITTSBURGH UNIV PA INST FOR STATISTICS AND APPLICATIONS

Personal Author(s):

Report Date:

1980-10-01

Pagination or Media Count:

28.0

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE