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Asymptotic spectral analysis of cross-product matrices.

Title
Asymptotic spectral analysis of cross-product matrices.
Publication
Ft. Belvoir Defense Technical Information Center NOV 1982.

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Additional Authors
  • Princeton University - Department of Statistics
  • Watson, G. S.
Description
26 p.
Summary
T.W. Anderson (1963) derived the asymptotic distribution of the eigenvalues and vectors of the covariance matrix of a sample from a Gaussian distribution. Davis (1977) took his basic method and used it to get some results for the non-Gaussian case. The non-Gaussian case is of interest either because one wants to study the sensitivity of methods to deviations from Gaussianity - see e.g. Muirhead (1982) - or because one has to deal with other distributions. (Author).
Subjects
Access (note)
  • APPROVED FOR PUBLIC RELEASE.
Owning Institutions
Princeton University Library