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March, 1960 The Distribution of the Latent Roots of the Covariance Matrix
Alan T. James
Ann. Math. Statist. 31(1): 151-158 (March, 1960). DOI: 10.1214/aoms/1177705994


The distribution of the latent roots of the covariance matrix calculated from a sample from a normal multivariate population, was found by Fisher [3], Hsu [6] and Roy [10] for the special, but important case when the population covariance matrix is a scalar matrix, $\Sigma = \sigma^2I$. By use of the representation theory of the linear group, we are able to obtain the general distribution for arbitrary $\Sigma$.


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Alan T. James. "The Distribution of the Latent Roots of the Covariance Matrix." Ann. Math. Statist. 31 (1) 151 - 158, March, 1960.


Published: March, 1960
First available in Project Euclid: 27 April 2007

zbMATH: 0201.52401
MathSciNet: MR126901
Digital Object Identifier: 10.1214/aoms/1177705994

Rights: Copyright © 1960 Institute of Mathematical Statistics

Vol.31 • No. 1 • March, 1960
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