Asymptotics of eigenprojections of correlation matrices with some applications in principal components analysis

    Authors

    J. R. Schott

    Comments

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    Abbreviated Journal Title

    Biometrika

    Keywords

    principal component subspace; rank of asymptotic covariance matrix; TESTS; Biology; Mathematical & Computational Biology; Statistics & Probability

    Abstract

    The asymptotic distribution of an eigenprojection for a sample correlation matrix is obtained. In particular, it is shown that the rank of the asymptotic covariance matrix depends on distributional parameters in a somewhat complicated manner. The results obtained in this paper can be used to determine this rank. Some applications of the asymptotic distribution of these eigenprojections to inferential problems involving principal components subspaces are given.

    Journal Title

    Biometrika

    Volume

    84

    Issue/Number

    2

    Publication Date

    1-1-1997

    Document Type

    Article

    Language

    English

    First Page

    327

    Last Page

    337

    WOS Identifier

    WOS:A1997XK26000006

    ISSN

    0006-3444

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