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Inference in canonical correlation analysis

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  • Glynn, William J.
  • Muirhead, Robb J.
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    Abstract

    The asymptotic behavior, for large sample size, is given for the distribution of the canonical correlation coefficients. The result is used to examine the Bartlett-Lawley test that the residual population canonical correlation coefficients are zero. A marginal likelihood function for the population coefficients is obtained and the maximum marginal likelihood estimates are shown to provide a bias correction.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-4CRM9D2-87/2/ea608ddbe98597464e8ac282760dedf0
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 8 (1978)
    Issue (Month): 3 (September)
    Pages: 468-478

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    Handle: RePEc:eee:jmvana:v:8:y:1978:i:3:p:468-478

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    Related research

    Keywords: canonical correlations asymptotic distributions;

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    Cited by:
    1. Gunderson, Brenda K. & Muirhead, Robb J., 1997. "On Estimating the Dimensionality in Canonical Correlation Analysis," Journal of Multivariate Analysis, Elsevier, vol. 62(1), pages 121-136, July.
    2. Butler, Ronald W. & Wood, Andrew T.A., 2005. "Laplace approximations to hypergeometric functions of two matrix arguments," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 1-18, May.
    3. Nkiet, Guy Martial, 2005. "On estimation of the dimensionality in linear canonical analysis," Statistics & Probability Letters, Elsevier, vol. 75(2), pages 103-112, November.
    4. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary, University of London, School of Economics and Finance.

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