Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
نویسندگان
چکیده
منابع مشابه
Asymptotic Distribution of Wishart Matrix for Block-wise Dispersion of Population Eigenvalues
This paper deals with the asymptotic distribution of Wishart matrix and its application to the estimation of the population matrix parameter when the population eigenvalues are block-wise infinitely dispersed. We show that the appropriately normalized eigenvectors and eigenvalues asymptotically generate two Wishart matrices and one normally distributed random matrix, which are mutually independ...
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Takemura and Sheena (2002) derived the asymptotic joint distribution of the eigenvalues and the eigenvectors of Wishart matrix when the population eigenvalues become infinitely dispersed. They also showed necessary conditions for an estimator of the population covariance matrix to be minimax for typical loss functions by calculating the asymptotic risk of the estimator. In this paper, we furthe...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2008
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2007.04.001