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 regression when one set of variables is treated as independent (stochastic or nonstochastic) and the other set as dependent. Earlier work is corrected.

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Year of publication:	1999
Authors:	Anderson, T. W.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 70.1999, 1, p. 1-29
Publisher:	Elsevier
Keywords:	canonical variates reduced rank regression maximum likelihood estimators test of rank

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221722