Exact and approximate computation of critical values of the largest root test in high dimension

Gregory Tai Xiang Ang,Zhidong Bai,Kwok Pui Choi,Yasunori Fujikoshi,Jiang Hu

Communications in Statistics - Simulation and Computation（2021）

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摘要

The difficulty to efficiently compute the null distribution of the largest eigenvalue of a MANOVA matrix has hindered the wider applicability of Roy’s Largest Root Test (RLRT) though it was propose...

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关键词

Critical values, High dimension, MANOVA, Robustness, Roy&#8217, s largest root test, Tracy-Widom distribution

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