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

Ang, GTX; Bai, ZD; Choi, KP; Fujikoshi, Y; Hu, J

Choi, KP (corresponding author), Natl Univ Singapore, Dept Stat & Appl Probabil, Singapore, Singapore.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, ; ():

Abstract

The difficulty to efficiently compute the null distribution of the largest eigenvalue of a MANOVA matrix has hindered the wider applicability of Roy's......

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