On estimation of the dimensionality in linear canonical analysis

Guy Martial Nkiet

Statistics & Probability Letters, 2005, vol. 75, issue 2, 103-112

Abstract: Using a penalization of a statistic based on eigenvalues, we introduce a direct estimation method for the dimensionality in linear canonical analysis. Consistency of the resulting estimator is established and simulations show its finite sample performances.

Keywords: Linear; canonical; analysis; Dimensionality; Estimation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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