A better approximation of moments of the eigenvalues and eigenvectors of the sample covariance matrix
| Autor: | J. M. Muñoz-Pichardo, J. L. Moreno-Rebollo, Alicia Enguix-González |
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| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
Combinatorics Numerical Analysis Estimation of covariance matrices Principal component analysis Influence analysis Applied mathematics Statistics Probability and Uncertainty Covariance Series expansion Sample mean and sample covariance Eigenvalues and eigenvectors Mathematics |
| Zdroj: | Journal of Multivariate Analysis. 142:133-143 |
| ISSN: | 0047-259X |
| Popis: | Lawley (Lawley, 1956) obtained an approximation, through the first terms of a series expansion, of certain moments of an eigenvalue of the sample covariance matrix. The aim of this paper is to improve that approximation and to calculate a similar approximation for certain moments of the associated eigenvector. The results have practical applications in certain fields of Statistics, such as Influence Analysis. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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