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Biometrika 1988 75(4):794-796; doi:10.1093/biomet/75.4.794
© 1988 by Biometrika Trust
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MISCELLANEA

Testing the equality of the smallest latent roots of a correlation matrix

JAMES R. SCHOTT

Department of Statistics, University of Central Florida Orlando, Florida 32816, U.S.A.

The asymptotic variance of a statistic used to test the equality of the smallest latent roots of a correlation matrix is computed. This permits an approximation to its null distribution suggested by Lawley (1956). A simulation is used to compare the performance of this approximation with others currently in use.

Key Words: Asymptotic variance • Principal component analysis


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