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On the ratios of the individual latent roots to the trace of a Wishart matrix

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Author Info
Davis, A. W.
Abstract

A simple relationship is given between the exact null distribution gm,n(J) of the J-th largest latent root of an m - m Wishart matrix on n degrees of freedom, and the distribution fm,n(J) of the ratio of this root to the trace of the matrix. Explicit expressions for certain fm,n(J) may thus be obtained from previous results for the corresponding gm,n(J).

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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 2 (1972)
Issue (Month): 4 (December)
Pages: 440-443
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Handle: RePEc:eee:jmvana:v:2:y:1972:i:4:p:440-443

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Related research
Keywords: Exact distributions Wishart matrix ratio of root to trace Laplace transforms;

Cited by:
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  1. Akimichi Takemura & Satoshi Kuriki, 1998. "Tail Probabilities of the Maxima of Multilinear Forms and Their Applications," CIRJE F-Series CIRJE-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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