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On estimation of the dimensionality in linear canonical analysis

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  • Nkiet, Guy Martial

Abstract

Using a penalization of a statistic based on eigenvalues, we introduce a direct estimation method for the dimensionality in linear canonical analysis. Consistency of the resulting estimator is established and simulations show its finite sample performances.

Suggested Citation

  • Nkiet, Guy Martial, 2005. "On estimation of the dimensionality in linear canonical analysis," Statistics & Probability Letters, Elsevier, vol. 75(2), pages 103-112, November.
    • Handle: RePEc:eee:stapro:v:75:y:2005:i:2:p:103-112
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    References listed on IDEAS

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    1. Bai, Z. D. & He, Xuming, 2004. "A chi-square test for dimensionality with non-Gaussian data," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 109-117, January.
    2. Seo, T. & Kanda, T. & Fujikoshi, Y., 1995. "The Effects of Nonnormality of Tests for Dimensionality in Canonical Correlation and MANOVA Models," Journal of Multivariate Analysis, Elsevier, vol. 52(2), pages 325-337, February.
    3. Glynn, William J. & Muirhead, Robb J., 1978. "Inference in canonical correlation analysis," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 468-478, September.
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    Cited by:

    1. Guy Nkiet, 2008. "Consistent estimation of the dimensionality in sliced inverse regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(2), pages 257-271, June.

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