Asymptotic theory for canonical correlation analysis

被引：38

作者：

Anderson, TW ^{[1
]}

机构：

[1] Stanford Univ, Dept Stat, Stanford, CA 94305 USA

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1999年 / 70卷 / 01期

关键词：

canonical variates; reduced rank regression; maximum likelihood estimators; test of rank;

D O I：

10.1006/jmva.1999.1810

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 1999 Academic Press.

引用

页码：1 / 29

页数：29

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