The Annals of Mathematical Statistics · 1967 · 55 citations · 8 references
Natural SciencesBiostatisticsMeasurement InvarianceNuisanceStatisticsLarge DeviationsLatent Variable ModelingCovarianceCovariance Matrix EstimationMultivariate Normal DistributionRandom Matrix DistributionsRandom Matrix TheoryVariance-covariance Matrix Estimation
The distribution of the largest latent root of the covariance matrix calculated from a sample from the normal normalitive multivariate population with population covariance matrix $\sigma^2 I$ are presented by author [10] in 1966. The purpose of this paper is to find the distribution of the largest latent root for arbitrary $\Sigma$.
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