The distribution of the largest latent root of the covariance matrix calculated from a sample from the normal normalitive multivariate population with population covariance matrix σ2 I are presented ...

We study sample covariance matrices of the form $W=(1/n)CC^{\intercal}$, where C is a k × n matrix with independent and identically distributed (i.i.d.) mean 0 ...

This example considers a data set given in Lawless (1982). The data are the number of days it took rats painted with a carcinogen to develop carcinoma. The last two observations are censored. Maximum ...