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

Authors:
Tomoya Yamada
Affiliations:
-
Venue:
Journal of Multivariate Analysis
Year:
2013

Citing 6
Cited 0

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Abstract

We develop canonical correlation analysis in the context of two-step monotone incomplete data drawn from N"p"+"q(@m,@S), a multivariate normal population with mean @m and covariance matrix @S. 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, of @m and @S. 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.