Joint density of eigenvalues in spiked multivariate models
نویسندگان
چکیده
منابع مشابه
Joint density of eigenvalues in spiked multivariate models
The classical methods of multivariate analysis are based on the eigenvalues of one or two sample covariance matrices. In many applications of these methods, for example to high dimensional data, it is natural to consider alternative hypotheses which are a low rank departure from the null hypothesis. For rank one alternatives, this note provides a representation for the joint eigenvalue density ...
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ژورنال
عنوان ژورنال: Stat
سال: 2014
ISSN: 2049-1573
DOI: 10.1002/sta4.58