On variance of sample matrix eigenvalue

被引：0

作者：

Wywial, Janusz L. ^{[1
]}

Sitek, Grzegorz ^{[1
]}

机构：

[1] Katowice Univ Econ, Dept Stat Econometr & Math, 1 Maja 50, PL-40287 Katowice, Poland

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2021年 / 50卷 / 07期

关键词：

Matrix eigenvalue; Variance-covariance matrix; Canonical correlation; Approximation of variance; DISTRIBUTIONS;

D O I：

10.1080/03610918.2019.1588315

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The variance of a matrix eigenvalue estimator is considered. This estimator is a function of simple random sample variances and covariances of a multidimensional random variable whose distribution is not necessarily normal. The variance of the eigenvalue estimator is approximated based on the Taylor expansion for a function of simple random sample moments. A method for approximating the variance of the canonical correlation estimator is also proposed. A simulation analysis of the accuracy of variance estimation is presented. The considered approximation of variance can be applied to assessing the variance of a statistic which is the solution of any implicit interdependence functions of sample moments.

引用

页码：1943 / 1954

页数：12

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