Canonical correlation analysis and reduced rank regression in autoregressive models

DOI10.1214/aos/1031689020zbMath1029.62053MaRDI QIDQ1848968

T. W. Anderson

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1031689020

zbMATH Keywords

asymptotic distributions; eigenvalues and eigenvectors; Canonical correlations and vectors

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

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