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Joint density of eigenvalues in spiked multivariate models

The classical methods of multivariate analysis are based on the eigenvalues of one or two sample covariance matrices. In many applications of these methods, for example to high dimensional data, it is natural to consider alternative hypotheses which are a low rank departure from the null hypothesis....

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Detalhes bibliográficos
Main Authors: Dharmawansa, Prathapasinghe, Johnstone, Iain M.
Formato: Artigo
Idioma:Inglês
Publicado em: 2014
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC4159168/
https://ncbi.nlm.nih.gov/pubmed/25221357
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1002/sta4.58
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