Approximations to the distribution of the sample correlation matrix
Approximations to the distribution of the sample correlation matrix
复制标题
样本相关矩阵分布的近似值
DOI：
10.1016/s0047-259x(02)00037-4
复制
发表时间：
2003
影响因子：
1.6
通讯作者：
Kaire Ruul
中科院分区：
文献类型：
--
作者：
T. Kollo;Kaire Ruul
在本文中，推导了样本相关矩阵 R 的多元密度展开式。 R 的密度通过多元正态分布和 Wishart 分布来表示。推导了R的特征函数的渐近展开式，并以矩阵形式得到了R的前三个累积量的主项。这些结果使得直接获得 R 多元函数的渐近密度展开成为可能。
In this article, multivariate density expansions for the sample correlation matrix R are derived. The density of R is expressed through multivariate normal and through Wishart distributions. Also, an asymptotic expansion of the characteristic function of R is derived and the main terms of the first three cumulants of R are obtained in matrix form. These results make it possible to obtain asymptotic density expansions of multivariate functions of R in a direct way.