Asymptotic expansions of the distributions of estimators in canonical correlation analysis under nonnormality

Haruhiko Ogasawara

Journal of Multivariate Analysis, 2007, vol. 98, issue 9, 1726-1750

Abstract: Asymptotic expansions of the distributions of typical estimators in canonical correlation analysis under nonnormality are obtained. The expansions include the Edgeworth expansions up to order O(1/n) for the parameter estimators standardized by the population standard errors, and the corresponding expansion by Hall's method with variable transformation. The expansions for the Studentized estimators are also given using the Cornish-Fisher expansion and Hall's method. The parameter estimators are dealt with in the context of estimation for the covariance structure in canonical correlation analysis. The distributions of the associated statistics (the structure of the canonical variables, the scaled log likelihood ratio and Rozeboom's between-set correlation) are also expanded. The robustness of the normal-theory asymptotic variances of the sample canonical correlations and associated statistics are shown when a latent variable model holds. Simulations are performed to see the accuracy of the asymptotic results in finite samples.

Keywords: Edgeworth; expansion; Variable; transformation; Studentized; estimators; Nonnormality; Covariance; structure; Asymptotic; robustness (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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