Asymptotic expansions for the distributions of statistics based on a correlation matrix

An asymptotic expansion is given for the distribution of the α-th largest latent root of a correlation matrix, when the observations are from a multivariate normal distribution. An asymptotic expansion for the distribution of a test statistic based on a correlation matrix, which is useful in dimensionality reduction in principal component analysis, is also given. These expansions hold when the corresponding latent root of the population correlation matrix is simple. The approach here is based on a perturbation method.     

Asymptotic results in canonical discriminant analysis when the dimension is large compared to the sample size

This paper deals with the distributions of test statistics for the number of useful discriminant functions and the characteristic roots in canonical discriminant analysis. These asymptotic distributions have been extensively studied when the number p   of variables is fixed, the number q+1$q+1$ of groups is fixed, and the sample size N tends to infinity. However, these approximations become increasingly inaccurate as the value of p increases for a fixed value of N. On the other hand, we encounter to analyze high-dimensional data such that p is large compared to n. The purpose of the present paper is to derive asymptotic distributions of these statistics in a high-dimensional framework such that q   is fixed, p→∞$p\to \infty$, m=n-p+q→∞$m=n-p+q\to \infty$, and p/n→c∈(0,1)$p/n\to c\in (0,1)$, where n=N-q-1$n=N-q-1$. Numerical simulation revealed that our new asymptotic approximations are more accurate than the classical asymptotic approximations in a considerably wide range of (n,p,q)$(n,p,q)$.     

Rényi statistics for testing hypotheses in mixed linear regression models

Rényi divergences are used to propose some statistics for testing general hypotheses in mixed linear regression models. The asymptotic distribution of these tests statistics, of the Kullback–Leibler and of the likelihood ratio statistics are provided, assuming that the sample size and the number of levels of the random factors tend to infinity. A simulation study is carried out to analyze and compare the behavior of the proposed tests when the sample size and number of levels are small.     

Waiting time distributions for a run with additional constraints

This paper proposes a method for obtaining the exact probability of occurrence of the first success run of specified length with the additional constraint that at every trial until the occurrence of the first success run the number of successes up to the trial exceeds that of failures. For the sake of the additional constraint, the problem cannot be solved by the usual method of conditional probability generating functions. An idea of a kind of truncation is introduced and studied in order to solve the problem. Concrete methods for obtaining the probability in the cases of Bernoulli trials and time-homogeneous {0,1}$\{0,1\}$-valued Markov dependent trials are given. As an application of the results, a modification of the start-up demonstration test is studied. Numerical examples which illustrate the feasibility of the results are also given.     

Asymptotic distributions of statistics and parameter estimates for mixed Poisson processes

Mixed Poisson processes have been used as natural models for events occurring in continuous or discrete time. Our main result is the derivation of the joint asymptotic distributions of statistics, including parameter estimators, computed in different time intervals from data generated by mixed Poisson processes. These distributions can be used, for example, to test the hypothesis about the adequacy of the mixed Poisson process against data. We provide some simulation results and test the model on actual market research data.     

Progressively Type-II right censored order statistics from discrete distributions

Progressively Type-II right censored order statistics from continuous distributions have been studied rather extensively in the literature; see Balakrishnan and Aggarwala [2000. Progressive Censoring: Theory, Methods and Applications. Birkhäuser, Boston]. In this paper, we derive the joint and marginal distributions of progressively Type-II right censored order statistics from discrete distributions. We then use these distributions to show the non-Markovian property as well as to discuss some properties in the special case of the geometric distribution.     

Multivariate inverse Gaussian distribution as a limit of multivariate waiting time distributions

Multivariate inverse Gaussian distribution proposed by Minami [2003. A multivariate extension of inverse Gaussian distribution derived from inverse relationship. Commun. Statist. Theory Methods 32(12), 2285–2304] was derived through multivariate inverse relationship with multivariate Gaussian distributions and characterized as the distribution of the location at a certain stopping time of a multivariate Brownian motion. In this paper, we show that the multivariate inverse Gaussian distribution is also a limiting distribution of multivariate Lagrange distributions, which is a family of waiting time distributions, under certain conditions.     

Star-shaped distributions and their generalizations

Elliptically contoured distributions can be considered to be the distributions for which the contours of the density functions are proportional ellipsoids. We generalize elliptically contoured densities to “star-shaped distributions” with concentric star-shaped contours and show that many results in the former case continue to hold in the more general case. We develop a general theory in the framework of abstract group invariance so that the results can be applied to other cases as well, especially those involving random matrices.     

On principal points for location mixtures of spherically symmetric distributions

In this paper, we investigate some properties of 2-principal points for location mixtures of spherically symmetric distributions with focus on a linear subspace in which a set of 2-principal points must lie. Our results can be viewed as an extension of those of Yamamoto and Shinozaki [2000. Two principal points for multivariate location mixtures of spherically symmetric distributions. J. Japan Statist. Soc. 30, 53–63], where a finite location mixture of spherically symmetric distributions is treated. As an extension of their paper, this paper defines a wider class of distributions, and derives a linear subspace in which a set of 2-principal points must exist. A theorem useful for comparing the mean squared distances is also established.     

Asymptotic distributions of some test statistics for a linear functional relationship

We consider the testing problems of the structural parameters for the multivariate linear functional relationship model. We treat the likelihood ratio test statistics and the test statistics based on the asymptotic distributions of the maximum likelihood estimators. We derive their asymptotic distributions under each null hypothesis respectively. A simulation study is made to evaluate how we can trust our asymptotic results when the sample size is rather small.     

Nonparametric functionals of spectral distributions and their applications to time series analysis

There is a close analogy between empirical distributions of i.i.d. random variables and normalized spectral distributions of wide-sense stationary processes. Herein we make use of this analogy to develop nonparametric comparisons of two spectral distributions and nonparametric tests of stationarity versus change-point alternatives via spectral analysis of a time series.     

Asymptotic distributions of functions of a sample covariance matrix under the elliptical distribution

This paper is concerned with asymptotic distributions of functions of a sample covariance matrix under the elliptical model. Simple but useful formulae for calculating asymptotic variances and covariances of the functions are derived. Also, an asymptotic expansion formula for the expectation of a function of a sample covariance matrix is derived; it is given up to the second-order term with respect to the inverse of the sample size. Two examples are given: one of calculating the asymptotic variances and covariances of the stepdown multiple correlation coefficients, and the other of obtaining the asymptotic expansion formula for the moments of sample generalized variance.     

Generalized exponential distribution: Existing results and some recent developments

Mudholkar and Srivastava [1993. Exponentiated Weibull family for analyzing bathtub failure data. IEEE Trans. Reliability 42, 299–302] introduced three-parameter exponentiated Weibull distribution. Two-parameter exponentiated exponential or generalized exponential distribution is a particular member of the exponentiated Weibull distribution. Generalized exponential distribution has a right skewed unimodal density function and monotone hazard function similar to the density functions and hazard functions of the gamma and Weibull distributions. It is observed that it can be used quite effectively to analyze lifetime data in place of gamma, Weibull and log-normal distributions. The genesis of this model, several properties, different estimation procedures and their properties, estimation of the stress-strength parameter, closeness of this distribution to some of the well-known distribution functions are discussed in this article.     

Nonparametric methods in multivariate factorial designs for large number of factor levels

We propose different multivariate nonparametric tests for factorial designs and derive their asymptotic distribution for the situation where the number of replications is limited, whereas the number of treatments goes to infinity (large a, small n case). The tests are based on separate rankings for the different variables, and they are therefore invariant under separate monotone transformations of the individual variables.     

Antipodally symmetric distributions for orientation statistics

The conventional antipodally symmetric Bingham matrix distribution on the Stiefel manifold is generalized. Large sample maximum likelihood estimation and uniformity tests are discussed, and a parametric model for axial orientations (X-shapes) is suggested. A generalization of the Khatri-Mardia matrix distribution is developed to provide a model suitable for hybrids (T-shapes).     

A class of count models and a new consistent test for the Poisson distribution

We define a class of count distributions which includes the Poisson as well as many alternative count models. Then the empirical probability generating function is utilized to construct a test for the Poisson distribution, which is consistent against this class of alternatives. The limit distribution of the test statistic is derived in case of a general underlying distribution, and efficiency considerations are addressed. A simulation study indicates that the new test is comparable in performance to more complicated omnibus tests.