Positive Dependence of the Roots of a Wishart Matrix
Richard L. Dykstra, John E. Hewett
The Annals of Statistics · 1978 · Volume 6 · Issue 1
Abstract
It is shown that the characteristic roots of a Wishart matrix (identity covariance matrix) and the roots of $S_1 S_2^{-1}$ and $S_1(S_1 + S_2)^{-1}$ where $S_1, S_2$ are independent $p \times p$ Wishart matrices with the same covariance matrix, satisfy certain types of dependency relationships. That is, it is shown that these roots are (a) positive orthant dependent, (b) associated, (c) stochastically increasing in sequence, and (d) positively likelihood ratio dependent. An example of how this may be used in obtaining simultaneous confidence intervals is also included.
Keywords
62H99, characteristic roots, Positive dependence, totally positive of order two, Wishart distribution
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