K.U.Leuven - Departement toegepaste economische wetenschappen
DTEW Research Report 0334 pages:1-31
In this paper, the influence functions and limiting distributions of the canonical correlations and coefficients based on affine equivariant scatter matrices are developed for elliptically symmetric distributions. General formulas for limiting variances and covariances of the canonical correlations and canonical vectors based on scatter matrices are obtained. Also the use of the so called shape matrices in canonical analysis is investigated. The scatter and shape matrices based on the affine equivariant Sign Covariance Matrix as well as the Tyler's shape matrix are considered in more detail. Their finite sample and limiting efficiencies are compared to those of the Minimum Covariance Determinant estimator and S-estimates through theoretical and simulation studies. The theory is illustrated by an example.