Stochastic approximation of the factors of a generalized canonical correlation analysis

We suppose that data of a generalized canonical correlation analysis are i.i.d. observations of a random vector Z which are taken sequentially. We define a recursive method of sequential estimation of the factors. This can be applied also when there are a great number of non random data vectors.

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Year of publication:	2008
Authors:	Monnez, Jean-Marie
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 14, p. 2210-2216
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005074728