Document Detail


APPROXIMATE NULL DISTRIBUTION OF THE LARGEST ROOT IN MULTIVARIATE ANALYSIS.
MedLine Citation:
PMID:  20526465     Owner:  NLM     Status:  Publisher    
Abstract/OtherAbstract:
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.
Authors:
Iain M Johnstone
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Publication Detail:
Type:  JOURNAL ARTICLE    
Journal Detail:
Title:  The annals of applied statistics     Volume:  3     ISSN:  1941-7330     ISO Abbreviation:  -     Publication Date:  2009  
Date Detail:
Created Date:  2010-7-13     Completed Date:  -     Revised Date:  -    
Medline Journal Info:
Nlm Unique ID:  101479511     Medline TA:  Ann Appl Stat     Country:  -    
Other Details:
Languages:  ENG     Pagination:  1616-1633     Citation Subset:  -    
Affiliation:
Department of Statistics, Stanford University, Stanford, California 94305, USA.
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MeSH Terms
Descriptor/Qualifier:
Grant Support
ID/Acronym/Agency:
R01 EB001988-14//NIBIB NIH HHS

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