Accession Number:

ADA151885

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS

Personal Author(s):

• Bai,Z. D.
• Yin,Y. Q.
• Krishnaiah,P. R.

Report Date:

1984-12-01

Pagination or Media Count:

22.0

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.

Descriptors:

• *MULTIVARIATE ANALYSIS
• *MATRICES(MATHEMATICS)
• *DISTRIBUTION FUNCTIONS
• COMPUTATIONS
• STATISTICAL TESTS
• ANALYSIS OF VARIANCE
• EIGENVALUES
• VARIABLES
• DEGREES OF FREEDOM
• CORRELATION
• LIMITATIONS
• COVARIANCE
• WISHART MATRICES

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE