THE ASYMPTOTIC-DISTRIBUTION OF SINGULAR-VALUES WITH APPLICATIONS TO CANONICAL CORRELATIONS AND CORRESPONDENCE-ANALYSIS

被引:40
作者
EATON, ML [1 ]
TYLER, D [1 ]
机构
[1] RUTGERS STATE UNIV,NEW BRUNSWICK,NJ 08903
关键词
SINGULAR VALUES; RANDOM MATRICES; ASYMPTOTIC DISTRIBUTIONS; CANONICAL CORRELATIONS; CORRESPONDENCE ANALYSIS;
D O I
10.1006/jmva.1994.1041
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Let X(n), n = 1, 2, ... be a sequence of p x q random matrices, p greater-than-or-equal-to q. Assume that for a fixed p x q matrix B and a sequence of constants b(n) --> infinity, the random matrix b(n)(X(n)-B) converges in distribution to Z. Let psi(X(n)) denote the q-vector of singular values of X(n). Under these assumptions, the limiting distribution of b(n) (psi(X(n)) - psi(B)) is characterized as a function of B and of the limit matrix Z. Applications to canonical correlations and to correspondence analysis are given. (C) 1994 Academic Press, Inc.
引用
收藏
页码:238 / 264
页数:27
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