Title: Canonical analysis based on scatter matrices
Authors: Taskinen, S ×
Croux, Christophe
Kankainen, A
Ollila, E
Oja, H #
Issue Date: Feb-2006
Publisher: Elsevier
Series Title: Journal of Multivariate Analysis vol:97 issue:2 (Feb.) pages:359-384
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 serve as examples. Their finite sample and limiting efficiencies are compared to those of the Minimum Covariance Determinant estimators and S-estimator through theoretical and simulation studies. The theory is illustrated by an example.
ISSN: 0047-259X
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
cca.pdfCanonical analysis based on scatter matrices Published 300KbAdobe PDFView/Open


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

© Web of science