Approximate null distribution of the largest root in multivariate analysis
Applications
2010-09-30 v1
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.
Keywords
Cite
@article{arxiv.1009.5854,
title = {Approximate null distribution of the largest root in multivariate analysis},
author = {Iain M. Johnstone},
journal= {arXiv preprint arXiv:1009.5854},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.1214/08-AOAS220 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org)