Asymptotic properties of canonical correlation analysis for one group with additional observations

作者：Yamada Tomoya^*

来源：Journal of Multivariate Analysis, 2013, 114: 389-401.

DOI：10.1016/j.jmva.2012.08.001

• Canonical correlation
• Canonical vector
• Monotone incomplete data
• Missing value
• Asymptotic expansion of the distribution
• Perturbation method

We develop canonical correlation analysis in the context of two-step monotone incomplete data drawn from Np+q(mu, Sigma), a multivariate normal population with mean mu and covariance matrix Sigma. Our data consist of n observations on each group and an additional N - n observations on only one group, where all observations are mutually independent. We perform the canonical correlation analysis using the maximum likelihood estimators, with the monotone incomplete data, mu and Sigma. Further, we derive the asymptotic expansion of the distributions of the canonical correlations and the limiting distributions of the canonical vectors, and we compare them with the results of a typical canonical correlation.

• 出版日期2013-2