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Estimating correlation matrices that have common eigenvectors

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  • Schott, James R.

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  • Schott, James R., 1998. "Estimating correlation matrices that have common eigenvectors," Computational Statistics & Data Analysis, Elsevier, vol. 27(4), pages 445-459, June.
    • Handle: RePEc:eee:csdana:v:27:y:1998:i:4:p:445-459
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    References listed on IDEAS

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    1. Chen, K. H. & Robinson, J., 1989. "Comparison of factor spaces of two related populations," Journal of Multivariate Analysis, Elsevier, vol. 28(2), pages 190-203, February.
    2. W. J. Krzanowski, 1984. "Principal Component Analysis in the Presence of Group Structure," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(2), pages 164-168, June.
    3. Teruo Fujioka, 1993. "An approximate test for common principal component subspaces in two groups," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 147-158, March.
    4. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    5. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    6. Schott, James R., 1996. "Testing for the equality of several correlation matrices," Statistics & Probability Letters, Elsevier, vol. 27(1), pages 85-89, March.
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    Cited by:

    1. Ryan Browne & Paul McNicholas, 2014. "Estimating common principal components in high dimensions," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(2), pages 217-226, June.
    2. Boik, Robert J., 2013. "Model-based principal components of correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 310-331.

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