Title: Canonical analysis based on scatter matrices
Authors: Taskinen, S
Croux, Christophe
Kankainen, A
Ollila, E
Ona, H
Issue Date: 2003
Publisher: K.U.Leuven - Departement toegepaste economische wetenschappen
Series Title: DTEW Research Report 0334 pages:1-31
Abstract: 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.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven

Files in This Item:
File Status SizeFormat
OR_0334.pdf Published 759KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.