Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots.
Francisco J. Caro-LoperaGraciela González-FaríasNarayanaswamy BalakrishnanPublished in: J. Multivar. Anal. (2016)
Keyphrases
- joint distribution
- covariance matrix
- marginal distributions
- random variables
- latent variables
- conditional distributions
- eigenvalues and eigenvectors
- maximum entropy
- probabilistic model
- positive definite
- principal component analysis
- covariance matrices
- conditional probabilities
- conditional distribution
- sample size
- eigendecomposition
- probability distribution
- objective function
- correlation matrix
- pseudo inverse
- geometrical interpretation
- machine learning
- gaussian mixture
- graphical models
- bayesian networks
- conditional probability distributions
- probability density function
- hidden markov models