Journal of the Korean Statistical Society

  • 제22권2호
  • /
  • Pages.339-345
  • /
  • 1993
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

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)
  • 발행 : 1993.12.01
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초록

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.

키워드

참고문헌

  1. Multivariate Calculation - Use of the Continuous Groups Farrell,R.H.
  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.