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Stochastic approximation of the factors of a generalized canonical correlation analysis

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  • Monnez, Jean-Marie

Abstract

We suppose that data of a generalized canonical correlation analysis are i.i.d. observations of a random vector Z which are taken sequentially. We define a recursive method of sequential estimation of the factors. This can be applied also when there are a great number of non random data vectors.

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  • Monnez, Jean-Marie, 2008. "Stochastic approximation of the factors of a generalized canonical correlation analysis," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2210-2216, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:14:p:2210-2216
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