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Comparison of simulation methods in the estimation of the ordered characteristic roots of a random covariance matrix. (English) Zbl 0733.65116

Statistical multiple integration, Proc. AMS-IMS-SIAM Jt. Summer Res. Conf., Arcata/CA (USA) 1989, Contemp. Math. 115, 189-202 (1991).
Summary: [For the entire collection see Zbl 0729.00014.]
Several simulation methods are used to evaluate the expected values and correlations of the ordered characteristic roots of a sample covariance matrix arising from a normal distribution with zero mean and identity covariance matrix. The methods used are importance sampling coupled with regression and ratio estimates. The comparisons of the efficiency of these methods is determined, where efficiency is defined in terms of variability measures.

MSC:

65C99 Probabilistic methods, stochastic differential equations
65C05 Monte Carlo methods
62H10 Multivariate distribution of statistics

Citations:

Zbl 0729.00014