Open Access
December, 1958 On the General Canonical Correlation Distribution
A. G. Constantine, A. T. James
Ann. Math. Statist. 29(4): 1146-1166 (December, 1958). DOI: 10.1214/aoms/1177706447


The paper is divided into two parts: A. An elementary derivation of Bartlett's results on the distribution of the canonical correlation coefficients using exterior differential forms. Briefly, our method consists of taking the original multivariate normal distribution, transforming to the canonical correlations and other variables, and then integrating out these extraneous variables. B. A new method of calculating the conditional moments which appear in Bartlett's expansion of this distribution, based on the process of averaging over the orthogonal group. This method allows the calculation of moments of any order.


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A. G. Constantine. A. T. James. "On the General Canonical Correlation Distribution." Ann. Math. Statist. 29 (4) 1146 - 1166, December, 1958.


Published: December, 1958
First available in Project Euclid: 27 April 2007

zbMATH: 0090.36603
MathSciNet: MR99100
Digital Object Identifier: 10.1214/aoms/1177706447

Rights: Copyright © 1958 Institute of Mathematical Statistics

Vol.29 • No. 4 • December, 1958
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