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arXiv · 1009.5854

Approximate null distribution of the largest root in multivariate analysis

Iain M. Johnstone
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Abstract

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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Iain M. Johnstone. 2010-09-29. Approximate null distribution of the largest root in multivariate analysis. https://doi.org/10.1214/08-aoas220

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