Accession Number:

ADA149818

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS

Personal Author(s):

Report Date:

1984-10-01

Pagination or Media Count:

17.0

Abstract:

In this paper, the authors derived an explicit expression for the limit of the empirical distribution function of a central multivariate F matrix when the number of variables and degrees of freedom tend to infinity in certain fashion. This 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. Originator-supplied key words Large dimensional random matrices, Wishart matrices, Computations, Air Force research. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE