Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Note on Eigen Transformation of a Correlation-type Random Matrix

  • Kim, Kee-Young (Department of Statistics, Korea University, 5-1 Anam-dong, Seoul 136-701) ;
  • Lee, Kwang-Jin (Department of Applied Statistics, Mokwon University, Mok-dong, Taejon 301-070)
  • Published : 1993.12.01
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Abstract

It is well known that distribution of functions of eigen values and vectors of a certain matrix plays an important role in multivariate analysis. This paper deals with the transformation of a correlation-type random matrix to its eigen values and vectors. Properties of the transformation are also considered. The results obtained are applied to express the joint distribution of eigen values and vectors of the correlation matrix when sample is taken from a m-variate spherical distribution.

Keywords

References

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  2. Annals of Mathematical Statistics v.25 Normal Multivariate Analysis and the Othogonal Group James,A.T.
  3. Aspects of Multivariate Statistical Theory Muirhead,R.J.
  4. Technical Report, 49, B, Aplied Mathematics Institute On the Distribution of the Union-intersection Test of the Internal Indenpendence Schuenemeyer,J.H.;Lucantoni,D.