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December, 1987 Estimation of Parameter Matrices and Eigenvalues in MANOVA and Canonical Correlation Analysis
Pui Lam Leung, Robb J. Muirhead
Ann. Statist. 15(4): 1651-1666 (December, 1987). DOI: 10.1214/aos/1176350616

Abstract

We consider the problem of estimating parameter matrices which occur in the noncentral Wishart, noncentral multivariate $F$ and canonical correlations distributions. A decision-theoretic approach is taken with squared error as the loss function. In these three settings the eigenvalues of the parameter matrices are of primary interest. Sensible estimates of these are obtained by restricting attention to orthogonally invariant estimates of the parameter matrices, whose eigenvalues are functions only of sample eigenvalues.

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Pui Lam Leung. Robb J. Muirhead. "Estimation of Parameter Matrices and Eigenvalues in MANOVA and Canonical Correlation Analysis." Ann. Statist. 15 (4) 1651 - 1666, December, 1987. https://doi.org/10.1214/aos/1176350616

Information

Published: December, 1987
First available in Project Euclid: 12 April 2007

zbMATH: 0629.62059
MathSciNet: MR913580
Digital Object Identifier: 10.1214/aos/1176350616

Subjects:
Primary: 62H12

Rights: Copyright © 1987 Institute of Mathematical Statistics

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Vol.15 • No. 4 • December, 1987
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