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June, 1983 Distribution of Eigenvalues in Multivariate Statistical Analysis
Steen A. Andersson, Hans K. Brons, Soren Tolver Jensen
Ann. Statist. 11(2): 392-415 (June, 1983). DOI: 10.1214/aos/1176346149


Ten invariant multivariate testing problems involving the real, complex, or quaternion structure of covariance matrices are considered. In each problem the maximal invariant statistic and its distribution are described, as well as the maximum likelihood estimators and likelihood ratio test statistics. These results are obtained by means of a new, unified method based on invariance arguments.


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Steen A. Andersson. Hans K. Brons. Soren Tolver Jensen. "Distribution of Eigenvalues in Multivariate Statistical Analysis." Ann. Statist. 11 (2) 392 - 415, June, 1983.


Published: June, 1983
First available in Project Euclid: 12 April 2007

zbMATH: 0517.62053
MathSciNet: MR696055
Digital Object Identifier: 10.1214/aos/1176346149

Primary: 62H10
Secondary: 15A21 , 15A52 , 15A63

Keywords: complex and quaternion Wishart distributions , distribution of eigenvalues , Invariant measures , Real , reduction of quadratic forms

Rights: Copyright © 1983 Institute of Mathematical Statistics

Vol.11 • No. 2 • June, 1983
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