ASYMPTOTICS OF EIGENVALUES AND UNIT-LENGTH EIGENVECTORS OF SAMPLE VARIANCE AND CORRELATION-MATRICES
ASYMPTOTICS OF EIGENVALUES AND UNIT-LENGTH EIGENVECTORS OF SAMPLE VARIANCE AND CORRELATION-MATRICES
复制标题
DOI：
10.1006/jmva.1993.1084
复制
发表时间：
1993-11-01
影响因子：
1.6
通讯作者：
NEUDECKER, H
中科院分区：
文献类型：
--
作者：
KOLLO, T;NEUDECKER, H
Multivariate asymptotic (normal) distributions for eigenvalues and unit-length eigenvectors of sample variance and correlation matrices are derived. Beside the general case, when existence of the (finite) fourth-order moments of the population distribution is assumed, formulae for the asymptotic variance matrices in the cases of normal and elliptical populations are also derived. It is assumed throughout that population variance and correlation matrices are nonsingular and without multiple eigenvalues.
