Inference for the Direction of the Larger of Two Eigenvectors: The Case of Circular Elongation
The paper discusses interval estimation of the dominant eigenvector for two-dimensional data. We derive adjustments for both the classical asymptotic formula of Anderson (1963) and two jackknife estimators and exhibit the finite sample behavior of the resulting interval (wedge) estimators in a variety of situations, including nonGaussian and non-circular parent distributions.
Key words and phrasesInterval estimation eigendirections jackknife finite sample adjustments bivariate nonGaussian bivariate distributions nonelliptical bivariate distributions cross-t circ-t exx-t
AMS subject classifications62H25 62H10 62G35
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