Asymptotic theory for canonical correlation analysis
type: Item
instance of: scholarly article
title: Asymptotic theory for canonical correlation analysis
zbMATH Open document ID: 0943.62056
author: T. W. Anderson
published in: Journal of Multivariate Analysis
publication date: 1999-12-20T00:00:00Z
review text: The author first presents a short review of canonical correlations and their sample versions. The main result of the paper is the derivation of the asymptotic distribution of the sample canonical correlations and coefficients of the canonical variates under the assumption that the nonzero theoretical canonical correlations are distinct and the sample is drawn from a normal distribution. Asymptotic distributions are derived also for the reduced rank regression model in the case that one set of variables is considered as independent and the other set as dependent. The author points out that some results on asymptotic distributions of sample canonical correlations published previously are not correct and he shows exactly where such derivations must be improved.
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62H10
zbMATH DE Number: 1334303
zbMATH Keywords: canonical variates
zbMATH Keywords: reduced rank regression
zbMATH Keywords: maximum likelihood estimators
zbMATH Keywords: tests of rank
reviewed by: Jiří Anděl
MaRDI profile type: Publication
full work available at URL: jmva.1999.1810
OpenAlex ID: W2086001225
DOI: 10.1006/JMVA.1999.1810
description: scientific article; zbMATH DE number 1334303