On the distribution of the second-largest latent root for certain high dimensional Wishart matrices. (1st January 2013)

• Record Type: Journal Article
• Authors: Iimori, Takayuki; Ogura, Toru; Sugiyama, Takakazu
• Is Part Of: International journal of knowledge engineering and soft data paradigms. Volume 4:Number 2(2013)
• Page Start: 187
• Page End: 197
• Publication Date: 2013-01-01
• Subjects: intraclass correlation matrix -- second-largest latent root -- Wishart distribution; Soft computing -- Periodicals; Statistics -- Periodicals; Information science -- Periodicals; 003.05
• Languages: English
• ISSNs: 1755-3210

Abstract

The distribution of the largest latent root was found by Johnstone (2001) for Wishart distributions with large dimension p – 1, when In this paper, we study the distribution of the second-largest latent root of the covariance matrix when are large and satisfy we shall obtain the approximate distribution of the second-largest latent root, and verify the accuracy of the approximate distribution via a simulation study.