Hao-Ming Wang

The joint density of top k sample eigenvectors and principal subspace inference

In this paper, the exact joint density of the top $k$ sample eigenvectors is derived for any $p\times p$ population covariance matrix $\varSigma$, sample size $n>p -1$, and $1 \le k \le p$. Using symmetric functions such as zonal polynomials and a dual summation identity by I. G. Macdonald, the result is expressed as a...