Kollo, T.; Neudecker, H. - In: Journal of Multivariate Analysis 47 (1993) 2, pp. 283-300
Multivariate asymptotic (normal) distributions for eigenvalues and unit-length eigenvectors of sample variance and correlation matrices are derived. Beside the general case, when existence of the (finite) fourth-order moments of the population distribution is assumed, formulae for the asymptotic...