APPROXIMATE NULL DISTRIBUTION OF THE LARGEST ROOT IN MULTIVARIATE ANALYSIS.
APPROXIMATE NULL DISTRIBUTION OF THE LARGEST ROOT IN MULTIVARIATE ANALYSIS.
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DOI：
10.1214/08-aoas220
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
Johnstone IM
中科院分区：
文献类型：
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作者：
Johnstone IM
The greatest root distribution occurs everywhere in classical multivariate analysis, but even under the null hypothesis the exact distribution has required extensive tables or special purpose software. We describe a simple approximation, based on the Tracy–Widom distribution, that in many cases can be used instead of tables or software, at least for initial screening. The quality of approximation is studied, and its use illustrated in a variety of setttings.
