Asymptotic Theory for Canonical Correlation Analysis

The asymptotic distribution of the sample canonical correlations and coefficients of the canonical variates is obtained when the nonzero population canonical correlations are distinct and sampling is from the normal distribution. The asymptotic distributions are also obtained for reduced rank regres...

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Published in:Journal of multivariate analysis 1999-07, Vol.70 (1), p.1-29
Main Author: Anderson, T.W.
Format: Article
Language:English
Subjects:
canonical variates
canonical variates reduced rank regression maximum likelihood estimators test of rank.
Distribution theory
Exact sciences and technology
Linear inference, regression
Mathematics
maximum likelihood estimators
Multivariate analysis
Probability and statistics
reduced rank regression
Sciences and techniques of general use
Statistics
test of rank
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description The asymptotic distribution of the sample canonical correlations and coefficients of the canonical variates is obtained when the nonzero population canonical correlations are distinct and sampling is from the normal distribution. The asymptotic distributions are also obtained for reduced rank regression when one set of variables is treated as independent (stochastic or nonstochastic) and the other set as dependent. Earlier work is corrected.
doi_str_mv 10.1006/jmva.1999.1810
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subjects canonical variates
canonical variates reduced rank regression maximum likelihood estimators test of rank.
Distribution theory
Exact sciences and technology
Linear inference, regression
Mathematics
maximum likelihood estimators
Multivariate analysis
Probability and statistics
reduced rank regression
Sciences and techniques of general use
Statistics
test of rank
title Asymptotic Theory for Canonical Correlation Analysis
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