Approximate null distribution of the largest root in multivariate analysis
arXiv:1009.5854 · doi:10.1214/08-AOAS220
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.
Published in at http://dx.doi.org/10.1214/08-AOAS220 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org)