Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series

M. Taniguchi*, P. R. Krishnaiah

*この研究の対応する著者

研究成果: Article査読

6 被引用数 (Scopus)

抄録

Let S = (1/n) Σt=1n X(t) X(t)′, where X(1), ..., X(n) are p × 1 random vectors with mean zero. When X(t) (t = 1, ..., n) are independently and identically distributed (i.i.d.) as multivariate normal with mean vector 0 and covariance matrix Σ, many authors have investigated the asymptotic expansions for the distributions of various functions of the eigenvalues of S. In this paper, we will extend the above results to the case when {X(t)} is a Gaussian stationary process. Also we shall derive the asymptotic expansions for certain functions of the sample canonical correlations in multivariate time series. Applications of some of the results in signal processing are also discussed.

本文言語English
ページ(範囲)156-176
ページ数21
ジャーナルJournal of Multivariate Analysis
22
1
DOI
出版ステータスPublished - 1987 6
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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