Sankhya: The Indian Journal of Statistics

1998, Volume 60, Series B, Pt. 2, 215--220

INFERENCES RELATING TO THE MULTIPLICITY OF THE SMALLEST EIGENVALUE OF A CORRELATION MATRIX

By

JAMES R. SCHOTT University of Central Florida, Orlando

SUMMARY. The minimum chi-squared test is obtained for testing the hypothesis that the smallest r eigenvalues of an m x m correlation matrix are equal, where r < m is specified in advance. One advantage of this test is that it provides as a natural byproduct a correlation matrix estimator that has multiplicity r for its smallest eigenvalue.

AMS (1991) subject classification.62H15, 62H12.

Key words and phrases. Minimum chi-squared estimator; minimum chi-squared test; principal components analysis;

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