Approximate null distribution of the largest root in multivariate analysis

Details Approximate null distribution of the largest root in multivariate analysis Approximate null distribution of the largest root in multivariate analysis

2010-09-29

arxiv.org/abs/1009.5854v1

Annals of Applied Statistics 2009, Vol. 3, No. 4, 1616-1633

Statistics

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Published in at http://dx.doi.org/10.1214/08-AOAS220 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Ins

Scientific paper

10.1214/08-AOAS220

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 be used instead of tables or software, at least for initial screening. The quality of approximation is studied, and its use illustrated in a variety of setttings.

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