Asymptotic Joint Distribution of Functions of the Elements of Sample Covariance Matrix.
PITTSBURGH UNIV PA INST FOR STATISTICS AND APPLICATIONS
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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
- Statistics and Probability