多元分析中最大根的近似零分布
APPROXIMATE NULL DISTRIBUTION OF THE LARGEST ROOT IN MULTIVARIATE ANALYSIS.
作者信息
Johnstone Iain M
机构信息
Department of Statistics, Stanford University, Stanford, California 94305, USA.
出版信息
Ann Appl Stat. 2009;3(4):1616-1633. doi: 10.1214/08-AOAS220.
Abstract
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.
摘要
最大根分布在经典多元分析的各个方面都有出现，但即使在原假设下，精确分布也需要大量的表格或专用软件。我们描述了一种基于特雷西 - 威多姆分布的简单近似方法，在许多情况下，至少用于初步筛选时，可以替代表格或软件。我们研究了近似的质量，并在各种情况下说明了其用法。
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本文引用的文献
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