A maximization problem and its application to canonical correlation

Morris L. Eaton

Journal of Multivariate Analysis, 1976, vol. 6, issue 3, 422-425

Abstract: Let [Sigma] be an n - n positive definite matrix with eigenvalues [lambda]1 >= [lambda]2 >= ... >= [lambda]n > 0 and let M = {x, y x [epsilon] Rn, y [epsilon] Rn, x [not equal to] 0, y [not equal to] 0, x'y = 0}. Then for x, y in M, we have that x'[Sigma]y/(x'[Sigma]xy'[Sigma]y)1/2

Keywords: Matrix; inequality; eigenvalue; canonical; correlation (search for similar items in EconPapers)
Date: 1976
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