On Estimating the Dimensionality in Canonical Correlation Analysis
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References listed on IDEAS
- Glynn, William J. & Muirhead, Robb J., 1978. "Inference in canonical correlation analysis," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 468-478, September.
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- Fujikoshi, Yasunori & Sakurai, Tetsuro, 2016. "High-dimensional consistency of rank estimation criteria in multivariate linear model," Journal of Multivariate Analysis, Elsevier, vol. 149(C), pages 199-212.
- Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007.
"Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 574-596, December.
- Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
- Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
- Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May.
More about this item
KeywordsAkaike's information criterion canonical correlation coefficient dimensionality elliptical distribution kurtosis likelihood Mallows's criterion;
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