By Vyacheslav L. Girko (auth.)
Statistical research of Observations of IncreasingDimension is dedicated to the research of the restrict distribution of the empirical generalized variance, covariance matrices, their eigenvalues and suggestions of the procedure of linear algebraic equations with random coefficients, that are a tremendous functionality of observations in multidimensional statistical research. A common statistical research is constructed within which saw random vectors won't have density and their parts have an arbitrary dependence constitution. The tools of this concept have vitally important benefits compared to latest equipment of statistical processing. the implications have functions in nuclear and statistical physics, multivariate statistical research within the concept of the steadiness of options of stochastic differential equations, on top of things conception of linear stochastic structures, in linear stochastic programming, within the thought of test making plans.
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Extra info for Statistical Analysis of Observations of Increasing Dimension
N . 7) we find that Jacobian is equal to J(Yn,UJ = det[ I" OIl>
4) 1=1 J=1 then Jex - y2 /2dy (21t)1/2 .
Generalized variance is an important measure of spread in multidimensional statistical analysis. In this chapter we develop a general analysis for it, when observed random vectors Xl, ... ,X" do not have density and its components have an arbitrary dependence structure. It is natural that in this case we must use asymptotic methods, when dimension of observed vectors mayaiso increase together with the growing number of observations. Under certain conditions the central limit theorem for empirical generalized variance is proven.