Estimating functions of canonical correlation coefficients

DOI10.1016/0024-3795(85)90050-3MaRDI QIDQ1069618zbMATH OpenOpenAlexFDO

Authors Robb J. Muirhead, Pui Lam Leung

Publication date 1985

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2027.42/25545

zbMATH Keywords

canonical correlation coefficientseigenvaluesnormal distributionrandom matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Review text

Let \(\rho^ 2_ 1,...,\rho^ 2_ p\) be the squares of the population canonical correlation coefficients from a normal distribution. This paper is concerned with the estimation of the parameters \(\delta_ 1,...,\delta_ p\), where \(\delta_ i=\rho^ 2_ i/(1-\rho^ 2_ i)\), \(i=1,...,p\), in a decision theoretic way. The approach taken is to estimate a parameter matrix \(\Delta\) whose eigenvalues are \(\delta_ 1,...,\delta_ p\), given a random matrix F whose eigenvalues have the same distribution as \(r^ 2_ i/(1-r^ 2_ i)\), \(i=1,...,p\), where \(r_ 1,...,r_ p\) are the sample canonical correlation coefficients.

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Cites work

• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
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Cited in

(12)

• Estimation of parameter matrices and eigenvalues in MANOVA and canonical correlation analysis
• A unified approach to estimation of noncentrality parameters, the multiple correlation coefficient, and mixture models
• New estimator for functions of the canonical correlation coefficients
• Estimation of canonical correlation directions: from Gaussian to sub-Gaussian population
• Some asymptotic properties for functional canonical correlation analysis
• Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices
• Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
• scientific article; zbMATH DE number 3921766 (Why is no real title available?)
• Decision theoretic estimation of functions of the canonical correlation coefficients
• Improved estimation of functions of the canonical correlation coefficients
• On variance of sample matrix eigenvalue
• Correlated effectivity functions

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