Some Relationships Derived from Canonical Correlation Theory

Some Relationships Derived from Canonical Correlation Theory

Canonical correlation coefficients measure the correlation between linear combinations of two sets of variables. For some predictive purposes it is desirable to know to what extent the variance of each of the variables of one set or the other is explained by the individual canonical functions. Formu...

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Veröffentlicht in:Econometrica 1969-04, Vol.37 (2), p.252-256
1. Verfasser: Glahn, Harry R.
Format: Artikel
Sprache:eng
Schlagworte:
Correlations
Equation roots
Linear transformations
Statistical variance
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Beschreibung
Zusammenfassung:Canonical correlation coefficients measure the correlation between linear combinations of two sets of variables. For some predictive purposes it is desirable to know to what extent the variance of each of the variables of one set or the other is explained by the individual canonical functions. Formulae for this purpose are presented and comments concerning Hooper's [2] trace correlation are made.
ISSN:0012-9682
1468-0262
DOI:10.2307/1913534