Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative

2022/05/24 by Shimizu, Koki, Hashiguchi, Hiroki · 1 citation
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2205.11776

Abstract

This paper discusses the computation of exact powers for Roy's test in multivariate analysis of variance~(MANOVA). We derive an exact expression for the largest eigenvalue of a singular noncentral Beta matrix in terms of the product of zonal polynomials. The numerical computation for that distribution is conducted by an algorithm that expands the product of zonal polynomials as a linear combination of zonal polynomials. Furthermore, we provide an exact distribution of the largest eigenvalue in a form that is convenient for numerical calculations under the linear alternative.

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