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APPROXIMATE NULL DISTRIBUTION OF THE LARGEST ROOT IN MULTIVARIATE ANALYSIS

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...

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Detalhes bibliográficos
Autor principal: Johnstone, Iain M.
Formato: Artigo
Idioma:Inglês
Publicado em: 2009
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC2880335/
https://ncbi.nlm.nih.gov/pubmed/20526465
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/08-AOAS220
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