Density expansions for correlations and eigenvalues of the covariance matrix

Authors

  • Tõnu Kollo University of Tartu
  • Anne Selart University of Tartu

DOI:

https://doi.org/10.12697/ACUTM.2004.08.11

Keywords:

skew normal distribution, multivariate density expansion, multivariate cumulants, multivariate Hermite polynomials

Abstract

In the paper explicit approximation formulae for the sample correlation coefficient and eigenvalues of the sample covariance matrix are found. The approximations are based on univariate and multivariate normal and skew normal distributions. A simulation experiment has been carried out where the empirical distributions are compared with different approximations.

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Author Biographies

Tõnu Kollo, University of Tartu

Insitute of Mathematical Statistics

Anne Selart, University of Tartu

Insitute of Mathematical Statistics

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Published

2004-12-31

Issue

Section

Articles