A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications

Xiao Han, Guangming Pan, Qing Yang

Let $\bbZ_{M_1\times N}=\bbT^{\frac{1}{2}}\bbX$ where $(\bbT^{\frac{1}{2}})^2=\bbT$ is a positive definite matrix and $\bbX$ consists of independent random variables with mean zero…